Is it normal to not be able to orgasm with your boyfriend during intercourse, even though you love the sex?

Like, my boyfriend and I have been having sex for a couple months now. I've never had sex before with anyone but him. I can orgasm when I masterbate but not when we have sex. I still love the sensation, but I am just unable to reach an orgasm. It even feels better when we have sex than when I masterbate, with an orgasm. It's really offending him that I can't orgasm. I have even got to the point where I have to lie and say that I have orgasmed during sex because he was feeling so offended and didn't even wanna do it anymore at all because he didn't feel good enough. I feel so bad. Is it normal to not be able to orgasm with him, even though I can by myself? Please share your thoughts below.