After a massage, the body is going to be experiencing many changes. Tissues are accepting to the work that has been done on it, the nervous system may be slightly sedated, the skeletal system may be not fully adapted in its position, and there may even be inflammation in the joints and muscles from the deep tissue work. These adaptations and changes to the body make it a little less desirable to perform strenuous exercise immediately after. The only exception would be a pre-event massage performed by a trained professional.
In general, the best exercise after a massage would be going for an easy walk. This would allow the body to slowly accept the changes being offered to it at its own pace. Some gently stretches can be performed if recommended by your therapist, but events such as weight training, running, or even yoga should be limited at least until the next day.