This is a good question. It is very difficult to know without examining your boyfriend so I would suggest that you offer to go with him to see a doctor
to discuss his skin concerns. It is possible that if your boyfriend experiences really dry skin he might be more sensitive to certain textures and feel that is is causing a "catching sensation" which he does not feel with softer sheets. If your boyfriends legs appear scaly and dry this is definitely a possibility. Another possibility is that he suffers from eczema
or a different dermatological condition that causes scaling and he feels that certain fabrics "catch" on his affected skin. If you ask your boyfriend more about this and you find out he does have a skin condition which causes his preference for fuzzy sheets you can suggest he make an appointment with his doctor to be sure it is being treated appropriately. It is also certainly possible that there is nothing wrong medically with his skin and he just prefers the sensation of sleeping with fuzzy bedding. In either case, try to be supportive of his needs and suggest that he see his doctor to discuss it further.