So, the foreskin has a lot of sensory nerve endings in it. When it is removed, those nerve endings are with it, which is one part of the sensitivity that is lost, in the most literal way. There's also a way that the foreskin protects the skin of the penis beneath it, and not having it there over time means that skin becomes less sensitive like, say, parts of our bodies exposed to the elements get more resilient and a little less sensitive. It also is a different experience for sexual partners, particularly with vaginal intercourse.
That said, in studies on this, the results usually bear out that those who have and have not been circumcised don't report big differences in sexual satisfaction: in other words, even though some literal sensitivity is lost, it appears that both people with and without a foreskin can have equally satisfying sexual lives.
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