A side effect of one of the most prescribed statins, Atorvastatin, is that it blocks the release of an enzyme called coenzyme Q10. Low levels of this enzyme may cause leg cramps, muscle weakness and shortness of breath by depleting levels of certain fat-soluble vitamins such as A, D, E and K. Look out for signs of deficiency such as tiredness.
Supplements may help but consult your GP or pharmacist before taking supplements, particularly if taking any prescribed medication.