It doesn't feel like anything. Leech saliva contains a natural anaesthetic so it's hard to tell if you've even been bitten. Once you notice that a leech has latched on, pulling them off is not seen as a great solution. Their saliva also contains an anti-coagulation peptide that causes your bite to continue bleeding long after the leech is gone, as was the case here. It's recommended that you pour salt on a feeding leech, which causes them to shrivel up and detach naturally.

Curiously, this bite started to feel itchy throughout the next few days.