The reason anal sex feels different from masturbation is because it is different :P I'm not an expert, but I know purely physical orgasms from anal sex come from the massaging of the g-spot through the back wall of the vagina in females, and through the massaging of the prostate gland in men (the "male g-spot"). I doubt your fingers or small objects would have been able to apply pressure on these places the same way other methods can.

That, of course, leaves the psychological aspects of the act completely out of the picture (mmmm )