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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.
Lung-related causes. Many lung disorders can cause chest pain, including: 1  Pulmonary embolism. 2  This cause of chest pain occurs when a blood clot becomes lodged in a lung (pulmonary) artery, blocking blood flow to lung tissue.3  Pleurisy.eart-related causes. Examples of heart-related causes of chest pain include: 1  Heart attack. 2  A heart attack is a result of a blood clot that's blocking blood flow to your heart muscle. 3  Angina.