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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.
If you are a smoker, and you have days when you complain âmy lungs hurtâ, this might be caused by your smoking habits. If you have increased smoking, then you might have caused inflammation to occur in your airways. A major symptom is pain when you take a deep breath.