Glucose is stored calories in the form of fat, and are the first to go becuase they provide the most long-term energy. Lipids are essential to your vital organs in keeping them protected and functional, like the lipids from healthy fats in your cardiovascular system. Proteins, like fatty acids, are utilized by your cells to undergo a variety of processes, including mitosis. Overall, it is a process most likely determined by evolution, and our bodies prioritize giving us the most energy at the moment, which is why you burn calories while running, playing sports, and even playing chess (chess players can burn upwards of 6,000 calories in a single 12-14 hour game, perhaps even longer).