Normally burning sensation or pricking sensation happens in the feet or palms. It can happen because of nerve damage. So when there is a nerve damage, it can cause an overreaction of the nerves or hyper reaction of the nerves. So it causes tingling, pricking and bunting sensation, this can happen in some cases like diabetes, or because of excess smoking or because of chronic renal failure or any kidney disorder or it can happen in some cases or vasculitis or sarcoidosis-like conditions.