| Lantus is well documented at causing pain at injection sites. Because it's a different pH to the human body it causes a reaction at the site which usually results in a stinging sensation, and can also have other more unpleasant side-effects.
As for why it hurts in your leg but not in your stomach, generally people have more body fat on their stomach so that could be acting as insulation against the reaction. It could also be that you're just more likely to hit veins and muscle when you inject into your leg, and so the problem might not necessarily be Lantus, but your injection technique. | 
lantus and injection pain? 
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