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Answer: No. It's just because the air you're breathing is colder than the air in your lungs, says Kara Gallagher, PhD, an exercise physiologist at the University of Louisville in Kentucky. As your lungs work to warm incoming air, you may feel a burning sensation caused by rapid water loss, says Gallagher. It might be irritating, but it doesn't pose a threat to your health, she says. Try wearing a light scarf or bandanna around your nose and mouth when exercising in the cold to "trap" some of the moisture lost in exhaled air.
Originally published in Fitness magazine, January 2006.