Your body burns calories even when you engage in no physical activity.

This statement is TRUE. 

Even without physical activity or exercise, our body still burns calories. When we burn calories without doing anything physical activity, it is through our basal metabolic rate (BMR) that we burn calories. Our BMR refers to the rate at which our bodies expend energy to continuously perform important functions such as breathing, maintaining optimal body temperature, digestion, etc., while our body is resting 

If it is a true or false question, then this statement is true. we do burn calories while doing nothing. 

Animals will lose energy because it is converted to heat