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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.
Report Abuse. 1  Lungs Hurt. 2  It sounds like you have some kind of a cold...yes, you can get a cold in your lung area. 3  You would know if you had pneumonia.  Fix Forward Head Posture 1  Fast! Go to the doctor.