I cannot represent all men, but, as a man, I know how he feels, and may know of other possible reasons, as follows,
(a) Not every men and/or women know that there must not be orgasm for every woman on each and each time of making love, or, physical sex, which is reasonable and acceptable, though may not be normal on all cases ;
(b) He may think that he is not doing so good, bringing you no orgasm ;
(c) He cares about your feeling, and may think you mind on having no orgasm ;
(d) He is not happy with his 'performance' and may think he is inferior in sex, in whatever sense ;