First off, if you aren't familiar with foam rolling and want to learn more, check out this article I found. It explains what foam rolling is and what it does in pretty good detail.
There are some areas of the body, the calves for example, where you may be able to control the pressure between your muscle and the foam roller without compromising form or engaging the muscle. There are other areas, however, where in order to take any pressure off of the muscle being worked, the person must completely compromise their body mechanics and posture or the muscle may engage to protect itself from the pain. One area where this tends to be true is the IT band, or side of the upper leg. The IT band is almost always tight and sensitive on people, and foam rolling it can be excruciating. Now don't get me wrong, massage of any kind on this area is important and helpful, but when you can't safely control the pressure being applied, the negatives may outweigh the positives for some people.
Overall, I think the most important thing is to listen to your body. If foam rolling is incredibly painful and you find the muscles you're trying to relax tightening up while you roll them, or you assess the position you're putting your body into and it seems like a bad idea, then maybe you're not quite ready for the foam roller and your entire body weight pressing into it. Try using a rolling pin on sensitive muscles so that you can control the amount of pressure, or warming the area up with stretching or massage and working toward the foam roller.
As a side note.. never be afraid to tell your massage therapist if the pressure is too much! Our job and ultimate goal is to help you feel better, and we can't do that properly if you don't communicate with us when something is just too much.