Didn't feel anything???

I had sex for the first time the other night, and couldn't feel it at all. To the point where I'm not even sure I had sex. I mean, I know I did, but I couldn't feel ANYTHING, it's like he wasn't even inside me. I've never had anything inside me besides fingers, but I could feel that..the guy wasn't necessarily small, so I'm kind of just confused I guess. I wasn't planning on having sex till after marriage, and didn't really want to have it, I was so set on waiting, he didn't ask, but the next thing I know, it was happening, and I just don't know why I couldn't feel anything.