Continuous pressure or rubbing will eventually lead to the separation of the epidermis (the outer skin layer) from its lower skin layers, and a blister containing tissue fluid will form. This liquid is supposed to cushion the wound and protect it from further pressure. So actually, the blister is a clever self-protective measure of your body.
An open blister
The blister’s outer membrane is what successfully protects the wound - from further pressure, or from dirt or bacteria entering.
Unfortunately, a blister is painful and can burst if exposed to more pressure and friction, leaving an open wound that is extremely painful and can easily become infected.