That's pretty odd for you to feel the shot afterwards. I inject twice a week in my glutes (wife does it for me) and I can't feel anything 30 seconds after the needle comes out. I wouldn't freak about it, but definitely talk to him about it next time. Maybe he is using a larger gauge needle or something? I use a 23 gauge and like I said, can't feel a thing...and I don't have a high pain threshhold or anything.