Does testosterone has any roles in the hair-loss, and going to gym does help this process?

Yes and no.: Male pattern hair loss (androgenic alopecia) occurs when androgen sensitive hair follicles interact with testosterone and its metabolite, dht. Although exercise can affect your levels of testosterone, it will not change the overall rate or degree of hair loss in any practical way. Only medications such as Finasteride and Minoxidil have been shown to do this.