Burning paper is a chemical change, as the identifying properties of the components that make up the paper change. The change is that new material is formed that was not there before.
There are four clues to indicate that a chemical change has occurred: a gas is given off, a new color can appear, heat and light are given off, and a precipitate is formed. Each of the clues shows a new substance has been formed, and therefore a chemical change has occurred. In contrast, a physical change is a change to physical properties without change to the identity of the item. Boiling water, freezing and evaporation are examples of physical changes.