An intelligent species that has no form of pain seems very likely impossible. Creatures have to be able to discriminate between things that are good for them and things that are not. Pain is often an indicator of things we should avoid. When we feel pain, what is essentially happening is that our bodies are signalling to our brain that the present state of affairs may be dangerous.
Of course this is not always true. Children are notoriously afraid of injections, but that fear is simply a reaction to our bodies’ dislike for breaches of our skin. The part of our brain that makes us aware of pain seems to be incapable of distinguishing between getting stabbed and receiving a life-saving vaccine.
If there was an intelligent species incapable of feeling pain, we would have to ask them how they sense danger. We would have to understand how their bodies react to invasion and how they determine that a certain course of action will end in their demise (or at least injury).
When they describe this phenomenon, we can then tell them pain somewhat resembles it. It might also help if we explain to them how pain persists — how it can be more than purely physical and how those who suffer pain can sometimes be with it for a long time in their minds after it has subsided.