This paper presents a set-membership observer for the estimation of carbon dioxide production during cycling. The observer uses measurements of oxygen consumption and power at pedal level together with a discrete-time linear model of gas exchange dynamics. The real process is assumed to be disturbed by unknown but bounded disturbances. The proposed observer provides a deterministic interval which contains the real state. Since the excess of carbon dioxide production is linked to the overtake of the anaerobic threshold, the observer can be applied to predict the physiological state of the cyclist by using a reduced number of gas exchange sensors. The methodology is illustrated and validated using experimental data.