A retainer can hurt some especially if your teeth have moved and caused the retainer to tighten up too much or you've removed the retainer and then your teeth may have shifted which could be a cause of the retainer hurting.
Retainers can hurt some when put in but you should not feel much pain or any pain after awhile of wearing the retainer.
If your retainer is hurting and the pain doesn't go away within a day or so then you should see your dentist because the dentist may need to adjust the teeth retainer to make it fit properly.
So sometimes the retainer may need to be adjusted which your dentist can easily do but the retainer should not hurt and usually means that it's out of adjustment or your teeth moved.