If your skin is punctured, it will protect your body from infection by

When damaged, the skin becomes inflamed 

Inflammation is the when the area around a wound becomes red and a burning sensation is felt around it. This response is painful. The pain ensures that you take care of the damaged region and it is not exposed to further injury. The inflammation process also releases chemicals which call white blood cells to the site of injury, where they destroy pathogens that may be entering through the puncture.