I have a burning feeling with insulin pump. should i be concerned?

Infusion site?: Hi. Did it start with insertion of the infusion cannula? Sometimes insertion will hit a sensory nerve and cause a burning sensation. That usually passes quickly. How old is the infusion site? Is it red or tender? If it persists, take that rig out and put a new one in in a different location. If the current site looks infected, notify your endocrinologist and be seen; sometimes antibiotics needed.