Just a remark -- what I'm about to describe is a stereotype and not true of many men, but I think it is important to point out in case this is your situation. It is not uncommon that men who have what they would consider risque fantasies also basically imagine that their female partners find these things secretly exciting and are pooh-pooing the idea because they do not want to admit they find it exciting, because they are good girls, etc etc etc. Now, it may be that for every man fitting this description, there is a woman somewhere about whom he's right. But for many/most women, the complete opposite is true -- they actually have some reasonable idea of what they do and don't like and this particular item on the menu is not one of them.
Anyway, this is a serious issue and it goes very deep. Obviously, it is possible that you are with someone who wants to do something you do not find particularly interesting, but neither do you find it problematic, so you are willing to go along to make them happy. This is not the case I'm describing, nor does it seem to be your situation. Let's imagine for the moment it had nothing to do with sex. Your boyfriend really liked shoplifting (or something else which gave you a queasy feeling in the pit of your stomach, but was perhaps not illegal -- bungee jumping, say). Would you do it to make him happy? Where does one draw the line? I'm exaggerating the questions a bit to make them clear but they are really very complex, and very hard to sort out in the psyche.
I think that on a fundamental level, you need to understand how you feel, and if the reality is that you don't feel good about this you need to make it completely clear that there's no coyness in this answer. From the way he responds, you will at the very least learn a lot.
