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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.
Some people only experience a cough (cough-variant asthma) and may experience pain in their chest due to repeated coughing. Pain which feels like lung pain may also be present when asthma is severe. Pulmonary embolism: A pulmonary embolus occurs when a blood clot in the legs or pelvis (deep vein thrombosis) breaks off and travels to the lungs.