Similar to how you can feel a sensual touch on your lips, nipples, or fingertips. There’s a bunch of nerves there and if you’re having a good time already and you’re relaxed enough for it to not hurt, all that stimulation feels good. Even without any of that they say the brain is your biggest sex organ for a reason, some people can actually meditate themselves to orgasm (although there is some abdominal flexing iirc). Anal is a taboo at least to some extent in most places, and psychologically that’s a cheap arousal button for an insane number of people.