This sac forms when a few of your epidermal skin cells do not slough off, but instead move down under the surface of your skin and begin to grow there. This frequently occurs as an outcome of an oil or a hair follicle -producing sebaceous gland within the follicle becoming damaged [source: Mayo Clinic]. For example, on your face, such damage might be caused by acne. But any sort of harm to your skin, for example a wound or exposure to harmful ultraviolet rays, can create the conditions that form a cyst.