I don't think that exchanges are having anything from transaction fees

You seem to be confusing them with miners. Nevertheless, there are ways which are allow exchanges to earn money off their clients and these have nothing to do with fees. The most conspicuous example is front-running the orders of the clients. Many exchanges have set up deliberate delays under various names. For example, at Btc-e all trading data is cashed every 2 seconds, but this in effect means that you can't find out what happens to your order within this interval after you send it. So the exchange has 2 seconds within which they may not actually place the order at once but wait and see if there is another offsetting order coming in. If the spread of these two orders is negative, the exchange itself can fill both of them and book the spread as profit. They don't even need any funds for that since they are just writing down the spread in their favor