Hedgehogs do scratch a good amount, at least my guy does. When they are quilling they will scratch more. Mites are always something to be careful of. It's always a good idea to take any new pet to a vet for a general check-up. Make sure any vet you go to actually has knowledge about hedgehogs as pets. Here is a link with a vet listing viewtopic.php?f=5&t=1452
While at the vet you can have him/her check for mites just to be sure.
How old is your hedgie? If he is young its possible that the scratching is because of quilling. Sometimes they will scratch if they are kept on wood or particulate bedding because it can dry and irritate the skin. Mites is a possibility also. If its just casual scratching here and there it could be a normal behavior but if it seems frantic I'd get it checked out. If you think its possible its from quilling or dry skin you could try giving him an oatmeal bath to soothe his skin. If he has never had one and you are unsure if he likes water you can make sure its the least scary by putting him on something that wont slip and gentally pour cups of water over his/her back that have had Oatmeal or Aveeno soaking in it. Just make sure to keep his face and ears dry and to also make sure that he's totally dry before putting him back. If you are using wood bedding you can switch to fleece. These may not be the reasons but it would rule out some of the easier causes.
I have always wondered that myself. When I took my little guy to the vet he told me that a regular leisure scratch is slow and relaxed; it shouldn't be frantic like he's trying to dig a hole. If he is scratching fast and frantically then I would take him into the vet for him to be checked. Better safe than sorry-- mites can get out of control fast. But try an oatmeal bath like the others suggested; that helped my little guy a lot.