Because they are lonely,unfulfilled, depressed, they want their egos stroked and some reassurance they still have "it."
Exactly the same reasons married woman do exactly the same thing.

You have already had great advice so no point in adding my 2 cents.
I merely wanted to point out this isn't a guy thing or a girl thing, it's a human thing.
perhaps the very reason he is being like that around you because of the boundaries you employ.
He is secure in knowing you won't get entangled, regardless of how these fantasies in his head play out.
However, it makes you uncomfortable, so do what you need to feel safe and carry on.
All the best.Take care.