Derived from peppermint, menthol can have the same sensitizing effect as peppermint on skin. Despite its documented ability to sensitize skin, menthol is included in a surprisingly large number of products. Unfortunately, the cooling, refreshing sensation menthol causes is direct evidence that your skin is being sensitized, not soothed.
References for this information:
Archives of Dermatological Research, 1996, issue 5-6, pages 245-248
Somatosensory & Motor Research,1992, issue 3, pages 235-244