Your pain receptors and signaling pathways are sensitized following noxious stimulation (e.g. burn). They are more excitable, so the threshold for “pain” sensations is lower. This can lead to “hyperalgesia” (previously painful stimulation is now more painful) as well as allodynia (previously innocuous stimulation is now painful).
Related, I believe that thermoreceptors can be activated by both extreme heat and cold (as well as certain chemicals, like capsaicin in chili peppers and menthol). This is why you might feel “burning” sensations from cold exposure or handling chili seeds.
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