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When you step onto a treadmill or go out for a jog, an alarming burning sensation in your lungs can cause anxiety. Some people experience the burning sensation during exercise or immediately after a rigorous session. The exercise-induced burn sensation is most common among smokers, ex-smokers and beginners.
There are other potential causes of a burning sensation in different parts of the body. 1  Rosacea is a skin condition that produces redness that can sometimes feel hot. 2  Canker sores are ulcers of the mouth, sometimes caused by a virus, that feel painful.