What are you, an Allomancer? Burning iron. Really. Put down your Sanderson books.
Next, someone will come in here and claim the world is shaped like an orange.
Well iron does burn, but only in very high temperatures, or when you have atmosphere with big quantity of oxygen(as we know, oxygen is about 20% of total air, rest is mostly nitrogen, and a very small amount is CO2(about 0,035 - it differs, but it is ussualy in quite small amount) and other gases(most prominently, about 1% of air is Argon, and from 0,5%-4% is water(in form of steam). Fun fact, water is more important gas in the greenhouse effect than CO2(more important in global warming). CO2 is however very good for plant life, increase their fertility, and makes them stronger. More harmfull, is lead, which is heavy metal and it harm animal and plant life, because it accumulates, and sometimes causes sterility - see why roman empire fallen - they used leaden dishes, so they became less and less healthy, so they became demoralized, and weak. There are lot of other reasons, obviously, like the fact they had lot of slaves, which made them lazy, they hired large amounts of mercenaries, and taught the barbaric tribes their own tactics, they were decitefull towards them, so the tribes became annoyed, because of series of betrayals. The barbarians brought by atilla used stirrup, so their cavalry was more deadly, and harder to beat. They used strong horse archer formations, and used to raid and fight. But, this could make up for a book to say for how many reasons the roman empire fallen...
Back to iron, if it would burn so easily, it would be useless as a metal for weapons. Think : Someone would just use a torch, and destroy whole enemy army if it would be that easy XD.
EDIT: Thou most metals are flameable, most of those that are, need very high temperature to be burned. Or as one in previous post said, it would need to be in powder form, thou, even if it would be, as it would melt under high temperature would make it no longer being in powder form. Unless you would throw it into air, but IF you would do that, when set in fire, it would explode.