It usually occurs during exercise performed after a long period of inactivity. The itching is not on the skin, it's inside the actual limbs. There are millions of tiny capillaries and arteries inside our muscles which expand rapidly due to the demand for more blood that is brought on by exercise. When fit, these capillaries remain open allowing maximum blood passage, but when unfit and inactive they tend to collapse, allowing only minimal blood passage (which is sufficient for a sedentary person however). The rapid expansion of these vessels causes adjacent nerves to send impulses back to the brain which are interpreted as an itch.
According to Prevention Magazine:
Believe it or not, itchy legs is a common complaint, particularly among new walkers. Some experts believe that it may be due to poor circulation. If sluggish blood flow is to blame, the itching should subside as your body gets acclimated to your new activity.So the cure: Keep walking. The better your circulation the less itching. The more you excersize, the itching will eventually stop altogether. The key that I have found is not to touch it. When the itching begins resist that urge to scratch. It only makes it worst. What happens to me is that the skin will stop itching and begin to feel really warm. From circulation, I think. Then I will just have really warm legs and eventually once I walk about 20 -30 minutes no more itching.
You can chase a butterfly all over the field and never catch it. But if you sit quietly in the grass it will come and sit on your shoulder.