It doesn't have a brain... but rather a system of nerves exiting 15 ganglia that course over its body... similar to insects. Since it has no spinal column, it has no neocortex, which, we are told, is required for the organism to feel pain.
Actually, this is a more philosphical question than scientific, in my opinion, since we are trying to correlate pain or stimuli in this type of organism to that which we ecperience which isn't possible.
A recent British study is interesting on this subject... seen here: "Nociception or Pain in a Decapod Crustacean?" That study suggests inverterbrates do respond to stimuli but not in the same way as we or other verterbrates do. So... personally, I give it no other thought than to ask for more butter please...