What does it mean when he talks dirty to me like this?

Me and my fiancé had sex last night and during most of it he was saying things like 'Do you like big hard cock' 'is he bigger than me?' 'Do you like it when he goes nice and deep?'

This happened before and I feel like he enjoys it when I respond but I notice he takes A LOT longer to finish when he does this and it makes me feel like I'm cheating.. obviously I know I'm not but when I ask him why he does this he tells me that he doesn't actually like that sort of thing.. apparently he would never watch me with another man (I would never do that anyway) but I'm confused as to why he says these things then?