Callus refers to a hyper-keratinized skin. The formation of callus occurs at the time of hyperkeratinization of the epidermal dead cell. It is stretum carniosum epidermis layer and comprises dead cells, so it does not comprise sensory receptors and blood vessels.
Due to this reason, there is no bleeding and pain in callus when one shave it off. It is usually developed due to pressure, friction, or other chemical, or physical irritation on the epidermal layer.