MoonJeli
I actually wouldn't assume it's just psychological yet. There are some medications that have this side effect -- difficulty coming. Just because it's not happening during sex doesn't mean it's psychological; when someone has anorgasmia often it is easier to come masturbating simply because they've got instant feedback about what feels good, and know exactly what to do. Is he on any medications?
Yes, I probably should not have used the word "know" (as in "we know the problem is not physical"). We're not doctors, and we can't diagnose anything over the internet, so we don't "know" for sure what anyone's issue is, and we shouldn't assume what their issue is. Thank you for pointing that out.
The issue described in the original post is far more likely to be psychological than physical though. It's extremely common for people to have trouble orgasming due to being nervous or tense (having a new partner, being afraid parents will walk in the room, being worried pregnancy, being worried about a new job, etc.). It is certainly possible for someone to have a physical issue that prevents them from orgasming during sex but allows them to orgasm during masturbation, but it is far less likely.
It's an interesting issue, and it is far more common than many people realize. Here is more information for those who want it:
"It is estimated that around 90 per cent of anorgasmia problems are related to psychological issues. Surveys point to performance anxiety as the number one psychological problem....Many psychological problems, such as work stress, are often intense but of short duration and are easily identified by an individual as the cause of their current sexual difficulty. In such cases the problem is often self correcting and of relatively short duration....."
http://menshealth.about.com/cs/stds/a/anorgasmia.htm"Anorgasmia: Failure to achieve orgasm (climax) during sexual intercourse. Anorgasmia can result from many causes including stress, anxiety, depression, fatigue, worry, guilt, fear of painful intercourse, fear of pregnancy, the undesirability of a partner, the undesirability of a setting, and the use of alcohol, prescription or illicit drugs."
http://www.medterms.com/script/main/art.asp?articlekey=25392So when your partner has trouble orgasming during sex, you should do your best to relax him/her. If the problem persists, talk to a doctor to rule out physical causes. Once physical causes are ruled out, therapy would be the next step.