Is he scratching a lot? Do you have anything wooden in his cage? Is he losing quills? How often do you bathe him?
If he is scratching a lot he could have mites. A vet visit would be a good idea.
Keep in mind that some hedgehogs scratch a little bit, sometimes when they are just waking up. It's their way of fixing a bed head.
When you have him out do you see him scratching?