Pumice is a porous, volcanic rock. It is semi-rough, yet with enough pressure, it will collapse in on itself. Pumice is made from the frothy part of magma hardening with gas pockets still inside it.
It is used for removing dead skin because the outer surface is rough from the partially exposed gas pockets and the remnants of what used to be gas pockets. The roughness is enough to scrape off dead skin, yet if too much pressure is used, it will most likely break apart instead of scratching into the soft skin beneath the dead skin.
ome also believe that pumice has medicinal properties, citing minerals in the pumice as the main benefit. Some people even take pumice, heat it up a bit, and stick it in bath water with other things like essential oils.