I wish there was a way to reduce stress the way you describe alcohol does, but without the tolerance-related escalation and the addiction. I have been trying meditation and progressive relaxation - they do work, but only for a limited duration. 2 hours later, you're back to being jittery and edge-of-the-seat.
People have a wide range of different responses to both exercise and alcohol (along with everything else). For me, exercise does feel like it helps but it also takes physical and mental resources. Also, I tend to exercise more when I have more time available, ie. when I'm less busy and under less pressure, so there's a pretty strong confounding factor involved.
Used for relaxation, alcohol is a quick-fix solution but sometimes that's what you need. A crutch is great for a few days when you've got a sprained ankle and still need to march. Just don't make it a permanent part of your life.
If the reason is stress, scaling back is probably the wisest option, but if that is not possible for one reason or another, and mental problems enter the mix, people should never be afraid to seek out professional medical help.
I also used alcohol to self-medicate for anxiety. And while in many countries there is a strong stigma against "just taking a pill" to help with this sort of thing, it's a hell of a lot better than becoming an alcoholic.
