Many men are afraid of hurting the baby with their penis during sex. Even thought they know it's impossible, the fear can persist. The thought of being so close to the baby can put them off, or just the thought of being 'observed' having sex by the baby could make them feel uncomfortable about it.
Men need to respect their partner's fears or reticence about having sex while she's pregnant, and the same goes for women and their partners' worries. He might have to accept having sex without penetration for a while, but pregnancy doesn't last forever and there are other ways of satisfying each other sexually.