As I've stated before:
The "answer" this time is because our feet are sensitive and legos are small and hard, with blah blah blah. 8.8 giga-pascals of pressure. If our feet are so damn sensitive, why doesn't it hurt to walk?
My take is that it is because they are so tall and small and thus exert a shearing force. I think that probably most of the time you step on a lego it doesn't hurt and you don't really notice, so there is more going on here than they 'explain'. The real answer is probably because we don't step on anything else small and hard with our bare feet.