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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.
The lungs (lower part of the right lung) can cause this is they are inflamed. A pneumonia or a blood clot can cause this type of pleurtic pain (pain with deep breath. Other important structures are the stomach, liver or pancreas in the area. Inflammation of any of these can cause it.