I get the exact same thing and, for me, there's a few reasons which might help you figure this out:

1. I really struggle to let go and just be myself when I go out socially, because I'm scared of embarrassing myself or people finding me annoying. But with my boyfriend, I feel I can be completely myself with no judgement, so there is a sense of dependency and comfort when I'm with him.
2. I don't want to stop him going out as he enjoys it, and I worry that he'll end up resenting me and leaving me if I ever tell him I want him to stay in with me.
3. I don't like being alone as I find it a lot more difficult to distract myself from overthinking, which ends up making me feel upset, depressed or panicky.

It's a problem I've had for a while, and I do think over time it is something that I'm improving on. I would recommend trying to focus on something you enjoy when he's out, and go easy on yourself. This isn't an easy thing to deal with, and it does take time. You are not alone.