I have encountered the situation you described, but only when there is sand or foreign objects get into the lens inside. This phenomenon does not occur under normal circumstances. Of course, we do not rule out the other two possibilities, the quality of your contact lenses or eye disease.
Anyway, you'd better take the contact lens out, rinse it, rinse your eye and then put the contact lens back in.
Feel some foreign stuff in your eyes when you wear contact lenses, that problem can be caused by wearing contact lenses at first time, and it will become better after several days when your eyes adjust it. And if it's not caused by wear contact lenses at first time, see a doctor for help because it may caused by some disease.
Normally you won't feel the existence of you contacts lenses, so if you constantly feel something in your eyes when you wearing contacts, it may indicate that your contacts lenses are not fit in your eyes or simply because of poor quality. You'd better go have an examination in hospital. Of course, there are many other reasons can lead this problem.
If you don't put your contacts lenses well, they will irritate your eyes, no wonder you feel something foreign in your eyes. So make sure you wear your contacts lenses in a right way. Besides, air conditioning may also affect your contacts lenses, your lenses may dry so you will feel uncomfortable. You need eye drops to wet you contacts lenses. If you stare at TV or computer for too long, it will also makes you lenses dry, you'd better not stress your eyes for too long.