Stress applied to bone makes it stronger. When skeletal muscle pulls on a bone (like when you're lifting weights), that bone actually retains calcium and stays (or becomes) stronger.
As the NIH puts it: "Since bones are living tissues just like your muscles, they respond to physical activity by growing stronger. So it's important that you get plenty of physical activity every day. This stimulates your bones to increase the production of new bone tissue." Any load bearing exercise is good for bone density: walking, hiking, dancing, jumping etc. Examples of non-load bearing exercise are activities like biking and swimming. If you'd like to read further, visit the NIH website here
Also, exercise improves balance, coordination, and overall confidence. Reducing the risk of falls is critical to bone health. Think of all the falls you prevent by practicing standing on a bosu!