What Causes Itching On Scalp When Hair Grows?

I dye my hair because i get gray hairs and it seems that every time my gray hairs start to grow my head itches. When i dye it the itching goes away. I don't have lice or dandruff and i buy expensive shampoos and conditioners because i take very good care of my hair. Could it really be the gray hairs that make my head itch?