When all substances in a compound combine with oxygen and produces $CO_{2}$ and $H_{2}O$, it is commonly called burning
During combustion substance reacts with an oxidising agent such as $O_{2}$ and $F_{2}$. Not all combustion reaction releases $CO_{2}$ and $H_{2}O$ e.g.
$Mg+O_{2} \to MgO+{\text{Heat}}$