Hmm, upon a second reading, I realize I sounded harsh. Sorry about that, its a bad habit of mine. I'm sorry you're hurting - the situation you are in is a very difficult one, there is no easy solution.
I don't know you're fiance, but it might help to make the analogy of having multiple friends or children. A parent doesn't love their first child less just because they have a second, their heart just expands. And no one would expect a single friend to meet all a person's "friendship" needs, so why do we expect one sexual partner to meet all our sexual needs?
Even with good analogies, expect the conversation to be a difficult one. You may have to do a lot of the emotional heavy lifting while he processes this new information, and it will likely take multiple talks to work through everything. It is a major paradigm shift for most people, and even more so when it is coming from someone they thought they were going to be exclusive with forever. Patience and gentleness will be the name of the game - assuming he is willing to consider it at all.