I think there are. I've raced bicycles for years and the sport demands around 10-15 hours a week training. Some of the time I do train in a gym (4-5 h per week) but its mind numbing and can be expensive if you dont have the benefit of a free facility. Cycling outdoors, (anything outdoor in fact) even hard training, depending on where you live, is great - countryside and fresh air - no mtv blasting your ears either and its much easier to regulate your body temperature. The main thing for me is that outdoors you seem to burn more calories (keeping yourself warm unless its summer) and you cannot recreate racing up and down a 10 km climb in a gym.
I guess then it depends on what you want - for a good aerobic work out or if you want to lose weight, in my opinion outdoors wins. Of course if its weight training you are after, thats different.