Itching is commonly caused by changes blood flow to the skin which causes nerve stimulation. This can be due to an irritant (bug bite or medication reaction), change in blood pressure (exercise in some people or medications or many other causes), or for some people vibrations which can cause direct stimulation of the nerves.
In some cases people who do not regularly exercise will have tiny blood clots in their capillaries. This isn’t a problem, but when they’re dislodged by vibrations or a change in blood pressure (such as exercise) they can cause itching. These tiny blood clots are largely harmless and will dissolve when they get into larger blood vessels. This will go away with repeated exposure.
Edit: added a bit about the capillary clots.
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