I am no doctor or expert but I have similar symptomns. If you have athletes foot it could be a yeast infection caused by the same fungus. Another is a hernia, or a bacterial infection. Depends I'm off to the doctors to know what exactly it is I suggest doing the same.
To be honest, this is pretty common if when you masturbate you have friction. Or even after sex if there was friction. That is usually nothing to worry about. However, you don't say a whole lot so it is hard to know. So, the best thing to do is to see a doctor. What other symptoms do you have if any? How long has it been going on? Do you have a frequent need to urinate? That's more indicative of a UTI. But urethral irritation can cause this so try not to worry. But do see a doctor. This could be an easy and quick fix.
You should see a doctor to get lab tests to rule out UTI and/or STD.