My first sex toy

So my boyfriend got me a simple sex toy for Christmas, I’ve never used nor had one so he surprised me and got one but when I tried it and absolutely nothing happened... it vibrates and is a teardrop shape but it did nothing. I tried it all the way up and all the way down and even off. I also tried while watching porn but nothing freaking happened! Is this normal for some women? I mean don’t get me wrong our sex life is fantastic he just wants me to enjoy my self when I have the need he isn’t home or isn’t in the mood. I don’t wanna tell him because I’m worried that in some way it might hurt his feelings or something. What should I do?!