Actually that's not necessarily the case. When we talk about asphyxiation in space, it's a bit different from what you might think. Yes, lack of oxygen would certainly lead to death, but before that could happen, the change in pressure would cause you to lose consciousness swiftly. The lack of discomfort comes from this quick loss of consciousness, meaning you wouldn't have time to feel much pain. This is due to the way the body reacts to such rapid changes in environment. It's a bit morbid, but it's also quite fascinating on a scientific level