I've got an 2009 Ultra, and it does the exact same thing. Backflow is about as good any in explaining it. Any time I running along and get out of the throttle I also get this burnt oil smell. ( Reminds of someone putting oil in their car and getting some on the exhaust manifold. ) I believe some of this is caused from the circling of air around the back of the bike and drawing up to the front. It does use about a quart in 4K miles, but I really just think it's the exhaust being brought to the front because of not enough exhaust pressure to push it out past the air stream. If you figure out some other reason for this please let me know.
Thanks Jonnierock

 

I get the same thing on my 08'. Kind of bothered me when it first started but now it's pretty much a afterthought. No problems.