Why I don't feel pain when I press the skin on my knee and elbow?
There is several types of nerves in the body. 
Some nerves are specialized in sensing cold or hot temperature, some other to cuts and cell damage and others feel pressure and touch. 

The answer to your question is that the nerves in your elbows and knees have less pain detectors and are in fewer number, thus with they are less sensitive.

Here's a funny little poster on BBC: Can you pinch yourself without it hurting?