If you have sharp chest pain that gets worse when you breathe in and out, and is accompanied by other symptoms such as a cough and breathlessness, it may be caused by a condition affecting the lungs or surrounding tissue, such as: pneumonia – inflammation of the lungs, usually caused by an infection. Sharp chest pains while taking deep breaths can have many causes, most of which are not serious. In most people, sharp chest pains with deep breaths, especially with hard exercise or while breathing cold air is a perfectly normal finding which simply represents the sensitivities of the lining of the tubes inside the lungs to the fast flow of air or the cold. If, however, the pain is also associated with wheezing, shortness of breath, or a cough that you only notice while exercising or in the cold, it is possible that you have a mild variant of asthma, called exercise-induced asthma.