They don’t burrow, but the effect their bite has causes a thing that feels like something is burrowing into you.

From the internet:

What happens when you get a chigger bite?

“Chigger larva will attach to your clothing and move to your skin to feed. The chigger larva will release a liquid chemical into your skin to kill skin cells (digestive enzyme). The dead skin cells form a tiny straw (stylostome) for the chigger to drink your skin tissue. The chigger’s chemical causes itching that is very intense for the first 24-48 hours before slowly going away over the next two weeks. Chiggers will fall off of your skin if you begin to scratch.”