I occasionally got the same burning sensation with Lantus, one of several reasons I was happy to switch to Levemir. I believe @pancreaswanted is correct that this is because of the pH and its mechanism of delivery.
There are a few other threads on Levemir and Tresiba that might be useful to you:
https://forum.tudiabetes.org/t/tresiba-basal-insulin
https://forum.tudiabetes.org/t/levemir-split-or-a-single-dose
https://forum.tudiabetes.org/t/insulin-degludec-tresiba
