That’s part of the process for the heat rubs. As far as I understand, it acts as an irritant to the skin tissue above the sore area, diverting focus and masking symptoms so you can relax your body a bit.

Sort of the same effect as fixing an itchy bug bite by pressing your fingernail into it. The itch receptors get backtracked and the brain focuses on the new pain. Maybe. Or it focuses on both equally and makes everything worse.