A quick search through the Internet, as well as any textbook, will reveal that the lining of the uterus (endometrium) created thickened during every menstruation cycle is rich in nutrients, and requires a constant blood supply, in order to accommodate a fetus.
Therefore, maintaining the lining would be more costly to the body than rebuilding it every month; in fact, as part of the lining is reabsorbed, rather than destroyed and expelled, thus conserving energy and nutrients. The reason a part of the endometrium is not reabsorbed is its thickness, which prevents its total reabsorption.
Also, the menstrual pain is, in fact, caused by the breaking down of the endometrium, although not directly, but by muscular contractions (cramps) and the contraction of blood vessels, which happen to prevent blood loss and help with the expelling of the endometrium.