A selectorized dumbbell has a plurality of nested weights that provide a stack of left weight plates and a stack of right weight plates. A handle is dropped between the stacks and a selector is inserted into one of a plurality of vertically spaced positions on the handle to couple a selected number of the weights to the handle. The selector has a continuous periphery enclosing an open interior. A user who is exercising with the dumbbell will be alerted to unintended dislodgement of the selector since a portion of the selector's periphery will contact a portion of the user's grip hand, wrist or forearm during such dislodgement. This prevents complete dislodgement and prompts the user to restore the selector to a fully installed position. Side walls of the selector may become curved when the selector is installed to provide an additional frictional force resisting dislodgement of the selector.