Wow. Since it seems it was shocking to you, I'm guessing it came out of left field?

It would be different if you were talking about open relationships and the topic came up but if he is saying it's what he wants and there's no discussion and you're not comfortable with it, the question is -- will you be able to stay with him?

I know there are Pixies who have had open relationships but it's been a mutual decision.

If it's just one partner making the decision, it may mean that partner is selfish and wants to "spread his wings".

What did you tell him? What was his reaction?