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. It also has the benefit of being right behind the vagina and the trailing tail ends of the internal clitoris, so they get stimulated a little too.

Additionally, if we’re talking multiple penetration, when you have an object in the anus whether it’s static or thrusting it stretches out the rectum and occupies space within the the pelvis. This means that when you go to insert an object into the vagina, there is less space in the pelvis for it to also expand out into. This means that the vagina will be tighter around the inserted object and as a result that object will feel larger than it otherwise would.

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.