Advice? Not sure where to go from here

So my boyfriend of two years sat me down a few days ago to confess that even though he's very in love with me, the past 6 months he hasn't been able to stop thinking about his ex girlfriend. (Weird right?) He says she pops up into his mind several times a day and he doesn't "understand" why...even when he's with me she will just take over his mind and I didnt even know any of this was happening until now. He swears he has no feelings for her and that he loves me so much but I just feel bothered knowing he thinks about her...when you love someone shouldn't they be the only one you consume your mind with? I don't understand why he's thinking about her? And neither does he, he claims...just feeling down:/