In the latest episode when Lucifer was beginning to realize and question his true feelings for Chloe something very surprising happened. Chloe shot him, but that wasn't he shocking part. In the first episode the bullet just bounced off him, but in tonight's episode when he was shot... he actually felt pain for the very first time!!!
I have a theory as to why Lucifer can feel pain, I migh be wrong but it's only a thought. Lucifer is developing romantic feelings for Chloe, but with tonight's episode his feelings must mean more, in other words he is falling in love with her. I know it's really to early to say, but it's so obvious they have feelings for each other. Anyway, since Chloe is Human and Lucifer is the Devil, it must mean that the more he loves a Human (Chloe), the more he becomes Human himself!!
As I said I could be wrong, but it's one of the many possibilities. If any of you think there might be another explanation as to why Lucifer can feel pain now, please leave your thoughts in the comments below.