Probably because of oxytocin: the love hormone. Humans are social creatures and have reward circuits in the brain for social grooming. When we do nice things for each other, the brain releases oxytocin and it feels good. Think: a chimp picking bugs off of another chimp (also why having someone run their fingers through your hair feels so good). If you are being massaged (or groomed) by another individual, it means that you have been accepted by the group. For social animals, isolation = death.