Can you really be allergic to exercise? Yes – and it sounds awful.Robbie Gonzalez10/01/13 2:52pm712EditPromoteGo to permalinkDoes your skin get really itchy when you run, bike, or lift weights? If it does, you could suffer from a physical allergy that causes you to itch when you exercise. Greatest allergy ever? Sure, maybe – unless you've got the version that makes it miserable to even climb stairs.