It's estimated that about 80 percent of amputees experience sensations, including warmth, itching, pressure and pain, coming from the missing limb. People who experience this phenomenon, known as "phantom limb," feel sensations as if the missing limb were part of their bodies. One explanation says that the nerves area where the limb severed create new connections to the spinal cord and continue to send signals to the brain as if the missing limb was still there. Another possibility is that the brain is "hard-wired" to operate as if the body were fully intact - meaning the brain holds a blueprint of the body with all parts attached.
/ Live Science