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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.
Inflammation of the lining of the lungs (pleuritis) causes sharp chest pain, which is aggravated by deep breathing and coughing. This condition is called pleurisy. Patients often notice a shortness of breath, in part due to their shallow breathing to minimize chest pain.