Hi there! Some women have pain others don't. I reckon it is all down to hormones, they can be so annoying especially at the beginning of the pregnancy when they are raging and fluctating. The same thing happens in pms, and around menopause.
There are two types of breast pain by the way, cyclic (read hormonal) and non-cyclic. Non-cyclic should always be investigated but considering you are pregnant, I would say it is just hormones. However, if you can't stand the discomfort, you should certainly talk to your doc and see if there were any options for redcuing your discomfort. Good luck!