But maybe it's the nerves or capillaries that run through the layers of fat and skin, as walking shakes them up and gets the blood pulsing through. Even in fit people the skin shakes a little as it slides back and forth over the moving muscles. Once you get into a serious workout, there's too much other sensation from the muscles and tendons, and the blood vessels are as busy and hopefully open as they're going to get.
Bear in mind I have no actual idea, just speculating.