Having lost all sensitivity, they have given themselves over to sensuality so as to indulge in every kind of impurity, with a continual lust for more.When a person is given over to futile thinking, the result is to lose sensitivity. In the King James, losing all sensitivity is translated as "to be past feeling" and the New American Standard translates it as, "to become callous." I believe that the reason for this is because the person who thinks in this way begins to turn inward. Seeking truth within themselves and to focus on how they feel about everything.
The word could also be translated as "beyond pain" so they have stopped feeling the trauma that sin has caused in this world which has resulted in death and pain and suffering. They have also stopped feeling the pricks of the Holy Spirit, so to seek new feeling they begin to indulge in what they believe will bring them joy. Whatever they lust for, they go for. And the lust keeps building, going into new areas all of the time.
Even though this is clearly describing one who is lost, if you are a Christian, you also need to be aware of futile thinking. Even though Christ will perform His work in us, I believe that we can slow that work down when our mind is not right. It will lead us into bouts with worldliness and lust.