It’s because of the skin and other tissue around the bone.
When you insert your finger into a tight hole, your finger skin&tissue gets pulled back behind the hole and the part that’s inside the hole has slightly less skin and tissue and thus your finger gets thinner when you’re penetrating a tight hole.
When pulling back, the skin&tissue gets pulled to the other side, making the part of your finger inside the hole have more skin and thus be thicker, the harder you pull, the thicker the part inside the hole gets.
To avoid that, you need to remove the friction between your skin and the hole by lubricating, and pull your skin back before pulling.
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