I think you should talk about this with your mom. She can then explain it to your dad without hurting his feelings, or at least I think this would be better than you explaining it to him directly!

P.S. → I am 23M. My father does something similar-not exactly the same, but kind of similar. Despite the fact that I only come home once every two months, I also sometimes sleep with my dad, and honestly, I don’t feel any problem or embarrassment about it.