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So you are sucking a lot of cold dry air into your throat and lungs which drys out the natural mucuses that exists there, and causes temporary inflammation and pain. This results in that burning sensation you feel in your throat/chest/lungs, which may or may not be accompanied by wheezing and coughing. It can be quite painful and quite distressing, but usually, it should subside within, hmm, about 15-20 mins after you stop exercising.
Chest Pain Causes: Lung Problems. Problems with the lungs can cause a variety of types of chest pain. These are common causes of chest pain: Pleuritis. Also known as pleurisy, this condition is an inflammation or irritation of the lining of the lungs and chest.hest Pain Causes: Lung Problems. Problems with the lungs can cause a variety of types of chest pain. These are common causes of chest pain: Pleuritis. Also known as pleurisy, this condition is an inflammation or irritation of the lining of the lungs and chest.