I suggest you should tell the truth. He will probably find out the truth anyway, and you don't want to start out by lying to him.
If you are embarrassed by the truth, say so. If he's not a complete jerk, he will like that.
If he doesn't like the truth about you, you should not be going out with him, anyway. Wanting to be different from the way you are for a boy is no way to live.
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It could mean that he is curious about your romantic experiences or is interested in you romantically. It's important to consider the context and your comfort level before responding.