No doubt you've come across statements that go like this:
People remember X% of what they hear, x% of what they see....
where the final "high retention" activity is learning (or sometimes teaching others). This has given rise to the training principle that people learn best by doing, and retention is higher.
In fact this is a partial misconception that has mislead thousands of trainers into choosing inefficient learning methods in training. It's a costly error.
Learning retention is not a direct function of the training or learning activity, although it is an indirect function. We know that people remember what they have learned according to two things that happen inside the learner -- attention, and thinking (or cognitive involvement with the material). That is, people will remember that which they pay attention to, and material that causes them to think, or reflect. Note that both of these requirements are not directly observed, since they can occur regardless of what learner can be observed to be doing.
It is quite possible for a person in training to retain more from a lecture than actually doing an exercise IF they pay attention to what is said, (and particularly if they take notes), and they think about the material. It's also possible that activities where trainees "do" things can interfere with paying attention to the right things, and interfere with thinking.
That's not to say that learning by doing is a poor method. There are actually other reasons having nothing to do with retention (i.e. transfer of trainig) as to why learning by doing is ONE important component of a training program. But often it depends on what kind of learning we wish to create.
So, the upshot is that if you are a trainer or instructional designer, you should not necessarily focus on "learning by doing", but on generating attention, motivation, and thinking about what is to be learned. If you do that retention will improve. If learning by doing results in these things, it will work well. If it does not, it will be no better (and probably worse) than other faster training methods.