Why masturbating with a finger hurts me (female)?

I am a woman and i naturally learned how to masturbate using a pillow when i was young. That is how i normally masturbate til now. I have tried things like fingering and rubbing. Other than rubbing my clit , i don't feel any pleasure when inserting my finger. Inserting seems rough also painful. I once unknowingly orgasm to it. For second i thought, it feels the same…just like the pillow. After that one time, i never orgasm to finger insertion. Also it feels uncomfortable and rough. Rubbing my clit feels good but i go back in doing with the pillow. I just so used to masturbating with pillow between my legs and i squeeze it while i watch porn or look at any porn pics.