Tell him he's confusing you with a man.
That makes NO sense!
Be wary about this becoming something he pesters you for.
Being pestered for ANYTHING is a problem. There is no more reason to think that he will pester for this than if he'd expressed a desire to take her on the dining room table.
I understand the wanting to please him. I want to please my DH in the same way that he wants to please me. However, that doesn't mean you do something you are clearly not comfortable with. I do enjoy anal, but it's definitely something we do because of mutual desire and pleasure - it's not something for one person to enjoy and the other to tolerate. It takes a huge amount of trust and open communication - you have neither of those at the moment.
There is a lot of disgust and disapproval about anal sex. It is definitely not for everyone and that's ok, we're all different and all enjoy different things, but wanting to do it doesn't make you an awful person. And it's not all down to porn. People have been having anal sex forever, they just didn't talk about it as much. I first did it as a teenager over 30 years ago, long before I ever saw any porn, I also remember reading about it in the Karma Sutra. The taboo around it reduced when people realised that it doesn't mean that the man is secretly gay. Porn has definitely increased the amount that men are willing to ask for it.
Genuinely curious - what's with anal sex that most guys seem to want it?
There's been some interesting answers to this question, most of them clearly indicating their disdain for it. Talk of baggy vaginas, wanting to hurt or insult. As a woman, the reason I do it is because it is seriously good. It genuinely feels pleasurable. My DH feels the same. He has no desire to hurt, insult or in any way objectify me, my vagina is perfect for him, but just occasionally, we like a bit of anal. People like different things, that's all.