Define sex.
If you think of sex as only penis-to-vaginal penetration then no orgasm is normal: only around 40% of women orgasm from penetrative sex alone - most pleasure for women comes from clitoral stimulation and sex (aka 'foreplay') leading up to penetration. If not aroused enough then penetration may not feel pleasurable, it may also cause pain and bleeding due to penetration being forced (when fully aroused the vagina is not only responsive but also lubricates, opens, and increases in size).
You not reaching orgasm isn't about him, his feeling sad is his problem to deal with and not your responsibility, don't feel it's on you to orgasm to make him happy. Sex between any new couple isn't always great at first because it takes time to learn each others bodies, things like masturbation help as you can better explain to him what you like - communicate, let him know what feels good.
The Great No-Orgasm-From-Intercourse Conundrum -
http://www.scarleteen.com/article/advice/the_great_noorgasmfromintercourse_conundrum
How Do I Have Good Sex? -
https://www.plannedparenthood.org/learn/sex-and-relationships/sex/how-do-i-have-good-sex