Background: Traditionally, psychologists have been involved in identifying the minimum amount of physical activity needed to be healthy. Latest research has changed direction and is starting to shed some light on a new trend characterized by excessive physical activity, especially in young adults. Objectives: This study aimed at examining how an intense physical activity can have detrimental psychological effects and turn into an addiction with possible repercussion on health, especially when individuals continue to have maladaptive behaviors such as smoking and drinking. Patients and Methods: A convenience sample of 158 participants (female = 101; male = 57) was enrolled, with a mean age of 28 years (SD = 6.09). A questionnaire was administered to evaluate both the optimistic bias in smokers and drinkers and the time spent in physical activity. Results: Participants showing smoking and drinking behaviors were categorized according to the extent of performed physical activity. Descriptive analyses revealed that 26% of participants were “inactive”, while 8.30% practiced “intense activity” and 8.30% practiced “extremely intense activity”. People who had 7 to 8 hours of physical activity per week estimated the risk of getting bladder cancer as “much below average” (P = 0.039). Consistent results were found for stroke (P = 0.015). Conclusions: This study aimed at offering an innovative starting point to examine more closely the role of such mechanism in individuals practicing intense and sometimes excessive physical activity. Our results may offer new hints for researchers working in the prevention and education of adolescents and young-adults.