Generally no. They add to the stimulation rather than making it uncomfortable. If you are tight/tighten up and combine it with thrusting (especially rapid thrusting) it can be uncomfortable, but that's true of any textured toy.
Maybe one of these will keep it from getting lost in there. I've heard they work well for converting a non-anal toy to a safe anal toy since it provides the stoppage you need so things don't go missing up in there.