Because they are mentally exhausting. Having said that, only thinking about (and doing) day to day stuff is mentally challenging - add extra thinking and stressing out over a panic attack and - you get extra tired, exhausted and thus the pain, on and on and on and on! If by pain you meant psychological pain.
Panic attacks should not hurt physically...........but having said that, some of us experience chest pain during an attack, some get really bad headaches, and as MiuMau pointed out, they take an enormous physical toll on our bodies, which can leave us with sore and achey muscles.
Perhaps if you could tell us a bit more about the kind of pain YOU experience, we could help you better.
Please post back.