This depends on the type of massage and the depth of the strokes. A light, relaxing massage shouldn’t hurt. With that being said, there is a ‘feels good’ hurt and an ‘ouch, stop it’ hurt. A good massage, even a really deep tissue massage, should always stay in the ‘feels good’ hurt range.
Massage does not need to hurt to be effective. Pain can be an indication that the muscle is possibly injured or inflamed and pressure should be adjusted. Also, pain can cause you to tighten up and negate the effects of the massage