No, you're probably remembering a widespread misinterpretation of a dermatology study published in Plastic and Reconstructive Surgery, 2005. They examined facial skin and found that women had approximately twice as many nerve fibers per square centimeters to men at that specific part of the body, and media ran with this to make it sound like women "are more sensitive", which is obviously not true
The scientific understanding of this is that, when you look at the overall density of epidermal sensory nerve terminals, it's basically the same for both male and female. It has been shown (with great detail) that there is no difference in the brain either. The only real difference is in hormones, and how one reacts to an elevated amount of testosterone or estrogen.
There are certain developmental things that changes due to this (boobs being the most obvious example). But in the context of what you were thinking, males have typically thicker skin (about 20-25% thicker on average), due to higher collagen density. This can in some spots make it so that males have somewhat blunted superficial sensation, but it is only a small effect, and it is not everywhere, and it definitely does not translate to pleasure in that way.
I could go on talking about how the brain processes things and about neural signal normalization, but I recommend you go study that on your own