If this burning has lasted longer than a few days, you will want to see a doctor to find out what is causing the pain. Sometimes the word "burning" is used to describe nerve pain, so there may be something pressing on a nerve. The cause of this pain could be something that is uncomfortable, but not dangerous. However, only a doctor could say for sure that there is not some serious underlying problem causing your pain. Probably the least likely cause is cancer, but if you develop swelling and redness along with the pain, you will want to see the doctor immediately because those could be signs of infection or a type of breast cancer called inflammatory breast cancer.