In the case of brown spirits (and maybe wine and other stuff) it could be tannins - from the oak in the case of wooded maturing, or from the fruit itself in the case of cider (or both for wines).
But I’ve experienced this burning with clear spirits such as gin and white rum (I hardly ever drink vodka, so I can’t comment on that). I think it’s got to be the alcohol that is the primary factor here - perhaps augmented by other substances in the mixture such as tannins.