There can be a lot of problems connected not with your hair but with your scalp. It can sting after you have dyed your hair. Or it can burn after you have used a new shampoo, which is inapt for you. Or you have an overwhelming desire to scratch it more and more with no apparent cause.
You should be ready for such situations, especially, if you have a sensitive scalp.
Remember, that this part of your body has more blood vessels than any other and also it has a lot of nerve endings.