You might have it sitting on a nerve or something, especially if you're thin. Change the site, no need for pain!
Every once and awhile you will hit a spot that really hurts. You probably hit nerve or vein or something. Just change the site!
I does not sound like muscle. I know it hurts when I hit a vein, but that is obvious usually because there is blood. It sounds like you may have an infection if it hurts when the canula is removed. There is not too much damage you can do with just needle to tissues,
I had an infection once and it hurt a lot like you are describing and there was a hard spot at the site. I took antibiotics and it went away quickly. Now I use a tiny drop of Neosporin on the spot that I am about to insert, It makes the needle go in easier and I have not had another infection in 4 years since. I think You better see your doctor about it to be sure. We diabetics can get infections out of control quickly. so it is best to get on it just in case.