One important thing to note is that for many it hurts a lot less than you’d think, basically feeling like a light scratch.
Wikipedia has more detailed information and sources:
Those who engage in self-harm face the contradictory reality of harming themselves while at the same time obtaining relief from this act. It may even be hard for some to actually initiate cutting, but they often do because they know the relief that will follow. For some self-harmers this relief is primarily psychological while for others this feeling of relief comes from the beta endorphins released in the brain.
Endorphins are endogenous opioids that are released in response to physical injury, acting as natural painkillers and inducing pleasant feelings, and in response to self-harm would act to reduce tension and emotional distress. Many self-harmers report feeling very little to no pain while self-harming and, for some, deliberate self-harm may become a means of seeking pleasure.