Anal stimulation provides many kinds of pleasure

The highest concentration of nerve endings is around the anal opening itself. A finger can focus on them especailly effectively. When an object or penis is inserted beyond the anal opening into the rectum, other pleasures are involved. The outer protion of the rectum, like the vagina, has several nerve endings. The inner portion responds mostly to pressure.
Some people enjoy the feelings of pressure and fullness once they understand that these sensations do not presage an impending bowel movement. Rectal pressure is especially important to enthusiasts of "fisting," a form of anal sex in which several fingers or een the entire hand and forearm are inserted into the rectum and sometimes into the lower colon. In men, the protate - which is just beyond the rectal wall, a few inches in, towards the front of the body - can be a source of pleasure when massaged by a finger, an object, or a penis. Also, the lower end of the penis, or "bulb," is near the anal opening opening. It is stimulated indirectly by most types of anal sex.
Rimming enthusiasts may enjoy the feeling, Sharing it with a partner is an act of openness and giving.