It could be for a number of reasons:
It could be that he wants to see what's happening down there during your intercourse. That can be very sexy for a man. (Don't forget, typically, a mans sexually can be very visual.)
It could also be because he wants to have more control over his 'sexual technique'. In other words, he wants to make sure his 'aim' in spot on to make sure he's giving you as much pleasure as he can.
Another reason is that he may be doing it because it feels natural for him to do it. A lot of the things we do during sex can be natural responses to the passion you are sharing.
I wouldn't worry too much about this (as your post says, it doesn't really bother you). But you should be able to talk to you boyfriend about these things. If you are ready to have sex with him, you should be ready to talk to him about anything!
However, if you are going to talk to him about it, make sure he knows that doing this doesn't bother you. He may worry that your uncomfortable with it.