There are many reasons.

Allergy. You could be allergic to a product you add to the water. Perfumes, colring agents, additives, ... you could react to any part of it.

Dryness of skin. If you live in a part of the world that needs heat at the moment you ask you question, this means that you could complaint of dryness of your skin. The itchiness could only let you know that you need to put some cream or lotion to make it softer and more comfortable. Also, the rest of the day, drink more water: adults need at least 1,5 litre of liquids, including water. This also has a big impact on dryness of the skin.

Water is too hot. You need to use warm, not hot, water. As long as you fell comfortable, this is best for your skin. very hot water could remove the natural protecting oil from your skin and make it itchy.

Spending too much time in water. Avoid soaking in more than 5 minutes for the same reasons as the above answer.

Now what you can do:

• use warm water instead of hot;
• 5 minutes or less in water;
  
• avoid any irritant agents in the water except maybe a bit of oil that contains no perfume;
• drink enough water and other liquids all day long;
• put lotion or cream that will hydrate your skin.
  

I hope this helps.

In the winter where houses are typically dry or in dry climates loss of moisture in the skin can lead to itching. It can be so bad it can keep you awake or interfere with normal activities as your body lets you know loud and clear that it is dryer than it wants to be.

One way around this itchy skin problem is to use a moisturizing soap in the winter months. If allergies are an issue check out hypoallergenic soaps such as Toms of Maine which is a natural soap that comes with or without scent and in a moisturizing and glycerine formula as well as a deodorant version.

Another way to resolve this is to take your  usual bath or shower and smooth on an inexpensive mineral oil or baby oil to help keep moisture from washing in your skin. The mineral oil traps the moisture in your skin leaivng it much more comfortable. Only a light coating is needed and it is best applied while you are still damp from washing.

Hydrocordisone cream 5% .

I think its 2 years from your post now.

Now you should inform us that what helped you at that time.