"There are about 5 million touch receptors in our skin."
Of our five senses, touch is the one sense that we probably use the most, wether we want to or not. You can always not taste something by simply not eating, you can plug your nose to avoid using smell, or cover your ears or close your eyes to avoid hearing or seeing, but it is very difficult to "turn off" your sense of touch. Even if you cover up your hands with gloves to avoid the cold or avoid touching something sharp, you can still feel the gloves on your hands, so the sense isn't really stopped. This is due to this sense being strongest due to it's location on our largest organ - the skin. Touch receptors are the things that allow us to feel everything including pressure, texture, and temperature. There are different types of touch receptors for different purposes, but they all work basically the same way. The receptor is a type of sensory neuron that contain nerve endings that transmit signals to the central nervous system, therefore sending a signal to the brain to allow us to tell if what we are touching is hot, sharp, or whatever it is programmed to do. Since these are linked to the central nervous system, they can also tell other things in the body what to do. There are high concentrations of sensory neurons in the knee, for example, so when the doctor checks reflexes by hitting the knee with that little hammer, the knee kicks. Likewise, when someone is receiving a massage, the act of massage, and hitting the "right spots", can trigger feelings of good, pain, or tell the body to release endorphins, and make many other things happen.
This is not something that is learned, it is part of our basic being from the very beginning. At conception, one of the first groups of cells that develops is the brain and skin together - so these two rather important organs grow and form together, and each is an integral part of how the other works. There are even multiple studies that show that infants who receive skin-to-skin stimulation more frequently, ultimately develop reflexes, muscle tone, and cognitive development more quickly than those who do not receive any touch. This may also explain how massage is one of the oldest forms of healing. When you bump into something, what is the first thing you generally do? (After swearing or yelling some choice words,) the first thing you usually do is rub the area that was hit. Your touch receptors told your brain that there was a trauma, and you were in pain, so your body instinctively did something to calm those upset receptors with a more gentle, calming touch stimulation. So you see that with all of those touch receptors all over your skin, massage is a natural part of simply being human.