To understand this, we should first realize that our skin is in two layers. There is the outer layer and the inner one which carries nerves and blood-vessels.
Beneath the skin is a loose layer of tissue which contains fibres that run in all directions. A few of these fibres are attached to the under-surface of the skin so that, although we can move the skin about very freely, there is a limit to this movement. Where there is a dimple, the number of fibres are increased and they are rather short. Therefore, their pull on the skin is greater and it is this which causes a dimple.