Burning or combustion is a chemical change. Hydrocarbon in the presence of oxygen burns to form carbon dioxide and water. In chemical change reactants react with one another to form new products. In chemical change the chemical composition and chemical property of the reactants and products and different from each other.
In a physical change there is only a change in the phase of the substance no new substance is formed. Melting, evaporating, freezing are all phase changes hence they are all physical changes.
It would be burning be cause when you freeze, evaporate, or melt anything it is just changing how fast the atoms are moving . Think of it like water, ice, and steam, they are all the same thing but in different forms because of melting, evaporating,and melting. Burning is breaking it down.