@Kitty0116,
Seriously, there is nothing you can do about it. You've let him know that it bothers you, and all he does is deny doing it despite the loads of evidence. It does point to a problem since it is causing your sex life to suffer. Don't know how long you've been living with him, or how old he is, but maybe it's just a phase he's going through.
Non seriously, you can start dealing with this problem by first doing something about his blatant denial of the obvious. This can be accomplished by setting a trap. Watch him from a hidden location and catch him in the act. And just when he's ready to bring his private session to an exciting conclusion, you jump out from the closet swinging a machete wildly as you step quickly toward the bed. This will put him in a state of shock, and he will experience no happy conclusion to his private session. From then on, he will not be able to please himself in your house because anxiety is an incredible mood-killer. His fear will cause him to never be quite sure if you're going to make a surprise entrance during his private session with himself. Then, the only time he'll feel safe having any kind of sex is when he's having sex with you because you're the only person who presents the threat of a machete attack, and as long as you're in bed with him, he won't feel that threat. But leave the machete on the dresser across the room well out of your reach and where he can see it.
Another method that might interest you is to turn the sheet around so that the remnants of his private session with himself will be on his side of the bed. You might even add to it, using a mixture of mayonnaise and egg-whites to make sure it's a really disgusting experience for him.
I don't know if you're bigger than him or not. If you are, consider grabbing him by the back of the neck and marching him roughly to the bed, and then rub his nose in it. It works with puppies and babies. It might work with him.