This page:
http://exist-db.org/exist/apps/doc/building.xml
currently says:
Install the standard distribution
Get a standard distribution from the download page on Sourceforge.
Install it into a directory of your choice.
Make sure you include the source package.
"download page" is linked to https://sourceforge.net/projects/exist/files/Stable/2.0/. I believe it should be linked to the 2.1 stable version.