Answer
The outer fibrous layer of the periosteum is composed of many collagen fibers, but carries blood vessels and nerve fibers. Some of these sensory nerve fibers have pain receptors and are considered nociceptive (pain) fibers.
Work Step by Step
The nociceptive fibers of the periosteum are sensitive to tearing, pressure/tension, and penetration/puncture. That is why a fracture hurts, and bone pain my develop in cases of bone cancer. The penetration of a needle in the performance of a needle biopsy also hurts as the needle is passing through the periosteum, but stops once the needle is through.