Hi, I know what you're talking about. We have a budgie that has the same problem lately; his cage even makes a buzzing sound like tielfan mentioned.
Thor's problem originated from a heavy molt which he is still suffering from right now, probably due to an above seasonal warm spell followed by a return to the usual chilly temps of early spring. The poor thing doesn't have much down next to his body, which is what keeps a bird warm in the cooler weather, even indoor birds. So we turned the furnace back up and we're keeping him in the warmest room in the house away from all drafts, and making sure that he is getting lots nutritious foods. He's starting to show an improvement already.
It's very important to keep them away from drafty doors and windows and provide a good diet, especially if they're molting!