The optical properties of transition metal dichalcogenide monolayers such as the two-dimensional semiconductors MoS$_2$ and WSe$_2$ are dominated by excitons, Coulomb bound electron-hole pairs. The light emission yield depends on whether the electron-hole transitions are optically allowed (bright) or forbidden (dark). By solving the Bethe Salpeter Equation on top of $GW$ wave functions in density functional theory calculations, we determine the sign and amplitude of the splitting between bright and dark exciton states. We evaluate the influence of the spin-orbit coupling on the optical spectra and clearly demonstrate the strong impact of the intra-valley Coulomb exchange term on the dark-bright exciton fine structure splitting.