You don't have any insects in your room at all?
Little gnatty flies perhaps? If they land on you they can tickle and get itchy.
They can also bite too, which makes you itch.
It's not always very likely, but your bed may have bedbugs. But you may notice these from visible bites, possibly blood smearing on sheets, seeing the bugs or seeing their shell casings.
Also, do you have any pets?
You might want to check that they don't have fleas. They can be a nuisance and bite too.
They're generally easy to get rid of with flea medicine and flea collars though.