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There are a several things it could be. Does it feel like the pain is coming from part of the thigh going to sleep and being numb? Then it may be exertional compartment syndrome - the thighs numbness reason is related to swelling of a group of muscles activated during your physical activity.
It could also be because of blockage in the veins and/or arteries. A build up of lactic acid would cause a burning like sensation. Meralgia paresthetica, which is numbness or pain in the outer thigh not caused by injury to the thigh, but by injury to a nerve that extends from the thigh to the spinal column could also be the issue.
Does it only happen when running?
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