Most females and some males may not experience sensations during sex partly because of lack of experience, nervousness, or fear of pregnancy/sexually- transmitted diseases.
If you are having problems, discuss these feelings openly with your partner. Communication about these issues, getting to know your bodies and getting to know the other person more can help to foster a healthier and more intimate relationship.
You may also wish to consult your doctor to rule out any medical condition related to the problem. Remember to always practice safe sex by using a condom.