This is because you are artificially pressurized by the air you're breathing when scuba diving that deep. If you held your breath and went that deep, you would definitely feel the pressure.
"Feeling" changes in pressure depends on air space that can't equalize that pressure. One reason masks (which cover the nose) are used rather than goggles (which don't) is so that you can add air from your lungs to the mask and equalize the pressure. Otherwise you could give yourself a black eye or suffer a severe injury.