the connection of the bone actually is a joint. there are many tissue in a joint.at the outer side of the joint,a capulse protect the joint,besides, soft tissue like ligament, muscle and tendon will attach the bone.there are nerve in the soft tissue, so when moving the bone, it is actually stretching the tissue around it,so that have sensation.
on the bone,it has blood vessel which supply the nutrients for it,but no nerve.