The anus is not meant as a sex organ. If you use a lot of water-based lubrication and if the sex act is gentle, it is possible to engage in anal sex without doing any damage. But if anal sex is too rough, then the risk of damage increases. And the person being penetrated has to be relaxed, so if that person has reservations, then relaxation won’t be possible and the risk of physical damage increases. And, finally, because of the potential for damage, the risk of passing on disease is much higher, so if the person penetrating the other has an STD, condom use is a must, but since the potential for damage to the condom is greater during anal sex than vaginal sex, the possibility of disease transference is therefore also higher.

Now if you are pleasuring yourself manually while engaging in anal sex, so that you are relaxed, and if you are using plenty of a water-based lubricant, and the issue of disease is being taken care of (either via condom use or if your boyfriend has been tested and been found disease-free) then feel free to go ahead, as long as you don’t have any objections. But surely you also enjoy vaginal sex, so in my opinion you should “mix it up”. As to why he enjoys it so much, and more than vaginal sex, one reason could be that he is afraid of causing an unwanted pregnancy. But there could be other psychological reasons that are more difficult to guess at without knowing more.