Why does it hurt when i have anal sex?

Lack of lube: The anus was not intended to be used for sex. It has very little natural lubrication. If you are going to try it anyway to please your boyfriend (the most common reason stated by women) make sure you use plenty of high quality artificial lube like pjur or astroglide (saliva will not be enough), go slow, be gentle, and it hurts, stop! if you don't problems like painful anal fissures are likely.

Because: The anus was designed as an exit and not an entrance. If you have pain, you may have torn something. Hence you should avoid further anal intercourse and should get an exam to determine if any damage was done.