Never had a period?

I've had one tiny period when I was about 14, and it lasted a weekend. I'm on the pill where I take it for 3 weeks and on the one week gap I'm supposed to start bleeding but never have. I'm 19 now, and my boyfriend who's 24 has brought it up thinking its a bit strange. To be honest I don't want them and not complaining too much, but surely something is not right down there? Is this just me?