Sex, no matter what kind, whether it's by yourself or with your partner, is more psychological and emotional than it is physical.
Sure, your nether regions feel good when you're aroused, but it's really your brain getting aroused. A hard cock, a wet pussy, and erect nips are mere side-effects of one of nature's most powerful force.
The reason why sticking your fingers up your ass probably doesn't feel very good to you is for the same reason why it's impossible for one to tickle one's self. Your brain is not expecting it to feel good so therefore it doesn't.
Anal sex is much more than having something shoved up there massaging your prostate! It's about exciting all the nerves and pleasure zones in and around your anus. This includes penetration, but can also external stimulation such as from vibrators, massages (manual caressing, deep caressing, or electric
), analingus (rimming), etc.
If you truly want to experience it, you need to open yourself up to it both physically but more importantly psychologically and emotionally.
Buy a vibrator.
It doesn't have to be big, but make sure it's big enough where you can maintain a grip on it at all times.
I like the "wand massagers" that are marketed as personal massagers but everyone knows they're vibrators.
Start my stimulating your scrotum, perineum, and anus. When you can comfortably get aroused and get off from doing this then navigate up to a small butt-plug or anal beads and work your way up from there.
But if you're going to get serious about anal play, do yourself a favor and invest in some anal douches or fleet enema kits.
Seriously.
You'll thank me later.