\documentclass[a4paper]{scrartcl}
\usepackage[T1]{fontenc}
\usepackage[utf8]{inputenc}
\usepackage{amsthm}
\usepackage[ampersand]{easylist}

\newtheorem{exercise}{Excercise}


\begin{document}

Outside theorem

\begin{easylist}[itemize]
& Main item~:
&& Sub item.
&&& Another sub item.
\end{easylist}


\begin{exercise}

Inside theorem

\begin{easylist}[itemize]
& Main item~:
&& Sub item.
&&& Another sub item.
\end{easylist}

\end{exercise}

\end{document}