Condom AND pull-out method?

Hey ladies, I've recently started a relationship with a wonderful man. I'm not on birth control of any kind, but we're always very careful to use condoms correctly when we have sex. However, he is adamant about pulling out even while using a condom. I don't think it's an awful risk as long as you've used the condom the right way, and last Saturday I convinced him to not pull out. Now he's nervous that I could become pregnant, but I'm still not worried.
  Any insight here?