^(mammalian) teeth have nerves and no small amount of other living tissue in them tho (which is why "root canal without anesthesia" has such awful connotations) both for maintenance purposes and because tactile feedback from chewing and biting is sorta kinda important for any number of reasons. Horns conversely are layers of keratin grown around a bony core and neither have nor need nerves anywhere on them, less still on the surface layers which are subjected to more or less regular wear and abuse anyway. Antlers even less as they're temporary structures grown and shed seasonally and biologically die when they're finished growing, though the "velvet" skin covering them during the growth phase is as vascularized and ennerved as any other.
TL;DR it's just one of those stupid ideas hentai authors pulled out of their ass which has for some reason become an entrenched trope.