This is a cause of homeostasis in the body to create friction in the skin and blood to briefly heat up the body. Thats what goosebumps and shivering is all about.
It might just be dry skin. When my skin dries out, it looks scaly too. Just moisturize your legs every day and after a few days you should see an improvement.
Cold dry air, just add lotion.
maybe try some lotion?