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How long has this been going on? Do you have any pain behind the scrotum or lower back? Do you have pain when you urinate?
The sensation could potentially be a sign of prostatitis. I would recommend that you see a urologist for a prostate examination and a urine culture to see if you need to be started on antibiotics for this. You can also try to take some ibuprofen to decrease the inflammation around the nerves that can be causing the sensation you have.