Having trouble climax

So my fiancé and I were both in the mood, we wanted to “do the dirty” and for some reason I couldn’t climax. Every single time we have sex I can’t orgasm unless I’m masturbating. He feels as if it’s his fault and I just feel disappointed in myself. Why can’t I have an orgasm unless I masturbate? Him and I have tried everything to the point where we might just stop having sex. I have no clue what to do.