You can use google just as well as I can. Search for "insect feel pain".
They don't have the necessary nerves to carry pain signals.
As an example, if you cut off part of the leg of an ant it keeps walking like normal, and doesn't show any indication that it felt anything. (They used this with a cool experiment that showed ants count steps when navigating - the shorter legs meant they walked a shorter distance, but kept the same number of steps.)
Anyone have any clarification?