Because the rectum is a menagerie of very sensitive nerve endings! When performed correctly (one word--lubrication) anal stimulation can be just as enticing as the better known erogenous areas. Now let it be said that this is not the case for everyone--and that's ok. Sexual experiences are always only partially physical. While much of the wonder of a pleasurable sexual experience is encouraged by one's state of mind and confort level. This has to do with trust, honesty, and open communication.