In a sense, if you have an open relationship, why would he leave you? Even if he found someone super cool, the only reason he would leave you is because he doesn't want to be with you, not because anyone "stole" him. That is kind of the logical view of it.
Emotionally, it sounds like you need to hear from him why he loves you and wants to be with you. Just let him know when you are feeling extra insecure and he can try to help you understand why he wants to be with you.
My wife is going through similar feelings. I have said these things to her, but they did not seem to help. So I am not sure if it will help you or not.