The sensory system is an important and complicated series of receptors and afferent nerves creating networks of pathways to an integrating center. This integrating center is responsible for processing and producing an afferent/ response signal to your body. This integrating center can be located in your brain or somewhere else in your body such as your spinal cord. The receptors on your skin are responsible for detecting mechanical stimuli from the external environment. Different pressure to these receptors will either increase the frequency or decrease the frequency of the afferent signal to the integrating center. An increased frequency will cause a more urgent/painful signal, while a decreased frequency will cause something like an itch.
The stimulus can come from a multitude of things such as wind, dust, and even internal during such as an inflammatory response. An inflammatory response can push on the skin activating these sensors and causing your itch response. Be aware that this response is completely different from getting hives or rashes. In those cases, foreign objects induce the inflammatory process by chemical means, not mechanical means. This is why you Itch!!