I have this bump on my ankle. When I pressed it bust but inside my leg.

Yes not to long ago maybe a month ago. When I was showering I rub my hand over it. So when I got out the shower and dried off I pressed the bump. Well it busted but it busted inside my leg I could literaly see the stuff come out of it. But this all took place under my skin. Like I didn't see any pus, blood, or anything. Because it bust under my skin. Well I didn't think anything about it because I didn't die or anything and it didn't hurt. Well about a week later I was putting on my shoes and socks and accidently pressed it. Honestly I didnt know it had came back and the same thing happen. It bust under my skin. Well now I have another one and it's about as big as an eraser on a # 2 pencil. But now it hurts and I'm wondering should I go to the doctor for it or should I press it again.