Okay, going to get awful personal here, so please no judging.

I've never had sex with anyone, but I do consider myself bi-curious. So I've, uh, purchased some toys in the past. Toys based on, erm, male anatomy.
And, yeah, they went up my butt.
And it felt incredible. I thought that surely it wouldn't feel like it seemed to feel to pornstars or whatever, but it really did. Never felt anything like it.
So, I can easily see from my experience why some would like it, or prefer it even.