It's superstition, basically.

There's extremely heavy cultural baggage attached to virginity in most
cultures.  In many, a woman who isn't virgin at marriage can become an
outcast, and may even be killed for it.  Even in our own, there's a
great deal of psychological stress associated with first intercourse,
even within marriage, because we still have the notion that only loose
women enjoy sex, and the competing notion that sex is healthy and
enjoyable, so it's unnatural not to enjoy it.   In first intercourse
outside marriage, there's often the fear of pregnancy, VD, and being
used and rejected by a man who conned the woman into it, as well as
being found out and punished, ostracised or derogated by friends,
family and others.

In many cultures, marriage and first intercourse dramatically change a
woman's social status, from child to adult.  Her rights and
responsibilities change greatly, she may leave her family and village
and join another.  In some ways, she becomes a different person, with
all associated psychological effects.  Intercourse before marriage,
even if rape, can completely destroy her future prospects.  She may be
driven out to starve, and her only recourse may be prostitution.  This
is is still true in much of the world today.

Even in our own culture, which somewhat condones pre-marital sex, if
there's coercion, physical or psychological, guilt and fear are
increased.  If the man is inexperienced, self-centered or rushes
things, or the woman has doubts about whether she should be doing this,
first intercourse can be painful and frightening.  If the woman is
ready and eager,  there's no real noticeable pain, although there may
be some trivial and passing soreness later.  There's an anthropological
theory that the original purpose of the hymen was to discourage women
from having first intercourse until she's so much in love (pair bonded)
and in lust with her partner that she doesn't notice the pain.  It has
lost most of this role since humans developed language and culture.

Any good intercourse results in "an extremely good feeling" physically,
mediated partly by hormones, including oxytocin.  Psychological effects
of first intercourse depend on cultural, social and personal feelings
about virginity, as well as the particulars of the experience itself.