I agree, you should not feel any pain or bleed at all during anal play. This either means that
a) You weren't relaxed enough and you didn't take enough time to stretch yourself out down there. Some people need a lot of foreplay before they're ready to move on to something bigger. Start with a finger for a few minutes, or even wear a small plug for a bit in order to get yourself ready.
b) You were stretched out enough, but you didn't use enough lube. This can cause friction to build up, and this friction can tear the delicate membranes up there. You should always use LOTS of lube with anal play, silicone based if possible. (Don't use silicone lube on non-compatible toys, though)
Be safe, and next time keep these in mind! And most of all, if you're playing with a partner make sure you keep an open line of communication!