I'm not sure if we are allowed to post links but I did a google search (not always the best thing to do!) and found something called "Runner's Itch" which is described as "Runner’s itch is a sensation that occurs in people who run or do strenuous exercise. There are several causes of this itchy feeling on the skin when exercising. Typically, itchiness and allergic symptoms appear on the stomach and legs, though they can show up on any area of the body.". If we are allowed to post the link I will (it is to a reputable site) but basically it happens when people aren't used to exercising.
If you don't exercise for a few days, does the itchiness go away?