Like night said, you are at risk for e. coli, as well as other infections. Like you, I have had trouble finding out exactly what all of those infections are. Usually people just say "serious infections" or "various infections" and leave it at that.
Honestly though, all he needs to know is that it is not good for you when he does that. If he does not care and does it anyway, well, that's not a good sign. "No" means "no" even if you're in a relationship. A safer way to do it would be to have him wear a condom during anal sex. If you both want to switch to vaginal, he can remove that condom.