Underweight pregnancy

Malak
So I had my dr's appointment today and it seems at 35 weeks I've managed to loose weight as apposed to gaining :( 
Dr is not happy. The baby is fine and kicking me like crazy. 
I've got to go back in a week having gained some weight. 
I feel I eat a lot to the point I can't even be comfortable sitting or sleeping. What to do? 
Is any one else experiencing this? If baby is fine, why does my weight matter?