Why does my boyfriend, whenever he wants to have sex, calls me and after we are done, says thank you?

Because he has really good manners?

Like, if someone does something really nice for me, I tend to thank them for that nice thing.

Hopefully he did something nice for you as well.  If so, you can slightly tease him by saying something cheeky like, “No, thank you!” ; – )

And you can go back and forth with each other trying to see who can thank the other one the most until you get tired of that game.

But if it bothers you that much, you could say something like, “No need to thank me every time we make love, babe. Coming over and touching me exactly the way I like to be touched is thanks enough.”

And then he can revel in how awesome you are apart from your super sex skills.

Direct communication: look into it.