Burning, or rather combustion, leaves you with a different material than the one with which you started. A chemical change occurs if a new substance is created and most of the time cannot be reversed.
A chemical reaction is necessary for a chemical change to occur. Release of heat or light, a change in the state of a gas, solid or liquid; precipitate formation; odor release; and/or color change must occur during a chemical reaction. If none of these are evident, a physical change likely occurred. Burning shows heavy evidence of chemical change; it produces heat and light, forms a precipitate of ash, usually releases odor and changes the material color to black.