The answer has to do with ethanol and hydrogen peroxide, which are often ingredients in antiseptics. Both of these agents activate receptors in the body that trigger a burning sensation.
Ethanol activates the vanilloid receptor-1, known by the nickname VR1, according to a 2002 study in the journal Nature Neuroscience. VRI is responsible for creating a burning sensation when it's exposed to heat or certain chemicals, such as capsaicin in hot peppers.
VR1 is typically activated only at high temperatures, about 107 degrees Fahrenheit (42 degrees Celsius) or higher. "Usually it's not turned on unless you're actually getting burned,".
However, when ethanol comes into contact with the receptor, it lowers the temperature threshold to below body temperature. "So, all of a sudden, you feel like you're getting burned, even though you're not getting burned,".