Burning oil smell with hubs locked in

I've had a smell of burning or hot oil/grease and I have narrowed it down to when the hubs are locked in during moderate speed driving, 40 mph range or higher.
I thought it might be low on diff oil, so checked that today, was barely below the fill plug line, I topped it off anyway. It wasn't enough to cause what i'm smelling and the oil itself smelled fine. It's not engine oil either.
Any thoughts?
Transfer case and tranny are also full.

The smell goes away after I unlock the hubs. Is it the grease in the cv's?

 

My truck does the same thing. there is a little air discharge nipple on your transfer case that will release hot gas that smells like gear oil and it seeps into the cab. My truck does this. More when it gets supper cold.

 

Thanks, that described it. Smells like gear oil and I do notice it mostly when it's cold. I'll stop worrying about it, thought I was burning something up.

 

There is no reason to have your hubs locked at speed. When you get off the trail, unlock them.

 

Unless you drive snow covered highways.

 

Snow, whats that? I live in the valley in California.