he always pulls out...im on BC too..

hey everyone. so I've been with my boyfriend for almost 4 years. I've been on the depo shot since before we met. we have great sex! but he always pulls out. I don't mind it sometimes but not every time! I don't know how to explain it but it makes me feel...sad?...sometimes. I don't know how to bring it up that I don't want him to pull out anymore without sounding like I'm trying to make him get me pregnant. I just want that connection. that feeling. anyone have some advice?