It is quite common for amputees to experience sensations on the removed limb.
Many times it is pains, for others, it can feel different (itching for example). A study reported in nejm found that using a mirror to 'visualize' the removed body part actually helped resolve those sensations. http://www.nejm.org/doi/full/10.1056/nejmc071927. No matter what, discuss things with your doctor or surgeon.