Until the events of the film, the replicant Rachel believed herself to be human:
DECKARD: She doesn't know.
TYRELL: She's beginning to suspect, I think.
DECKARD: Suspect? How can it not know what it is?
That would include having a normal pain response. If she could put her hand into a pot of boiling water and not react, it would be a rather large clue that she was not a typical human being.
Therefore, some replicants are designed with a pain response. If Deckard is in fact a replicant, this must apply to him.
Incidentally, it appears that the other replicants do feel pain. In a later scene when Roy pushes a nail through his hand, he looks distinctly uncomfortable -- indeed, he's doing it in the first place to experience the sensation of discomfort. However they appear to be capable of ignoring pain when they so wish.