Most people here are emphasizing on the possessive behaviour, but I don't think that is an issue. If you've been together for 2 years and are pretty happy together then this hasn't most likely been a huge issue. I mean, in my past relationships, I know within the first month or two how possessive or jealous the person is. As you haven't indicated any other jealousy or possessive problems that have raised I am to assume this is it?
Here's what I think. Do you love him? If your answer is a hard yes then the answer is simple. Stop romance roleplaying with others. He is not asking you to stop completely. He is asking you to only do it with him. I don't find that posessive. I see it as him wanting to be the only person you fantasize romantically with, even if it's fiction you're writing with others. It shouldn't matter why he wants you to stop. What is important is that he is asking you. If you care about him it would be no thing to only roleplay romantically with him. However, that is just my opinion. It's not a bad thing if you want to end things with him to roleplay how you want with who you want, but you need to decide what you want. Like I said, there is no right or wrong answer.
I know in my personal experience, there are weird little things that I just didn't like in my relationships. Logically, I couldn't explain why they bothered me, they just did. If I were to communicate this issue to my partner I'd hope they would respect my feelings and understand enough to stop what was bothering me. If not, then it either wasn't meant to be, or I'd have to give in which would only last so long till the resentment built up long enough to cause a break up or huge fight.
So, my dear, you are at an empass. I personally wouldn't bother asking him why it bothers him that you romantically roleplay with others. Clearly, he is jealous and doesn't like it. Need there be any other reason? You just need to decide what you are going to do (or not do) about it. If you absolutely can't or won't stop then you need to tell him the truth and let him decide if he can deal with it or not.
Best of luck to you. :)