Burning type pain is usually a sign of a nerve disorder. However, the cause could be one of many. It could be a compressed nerve root in the back. Damage to a peripheral nerve could also cause it. Others causes included diabetes or other metabolic disorders, infection, inflammation, autoimmune disorder, trauma, etc.
If it continues and becomes a problem, see your physician. The only way to determine exactly what is causing it is to do an history and examination, and conduct studies as needed. Good luck.