Who are "they"? And students cannot necessarily claim Exempt. either.
You may claim exemption from withholding for 2019 if both of the following apply:
• For 2018, you had a right to a refund of all Federal income tax withheld because you had no tax liability, and
• For 2019, you expect a refund of all Federal income tax withheld because you expect to have no tax liability.
Since the penalties for incorrectly claiming Exempt are high, you are better off claiming a large number of allowances instead (such as 6 or more).
https://www.irs.gov/pub/irs-pdf/fw4.pdf
