He could also be uncomfortable because of the fact society sometimes judges men when it comes to genitals (why I hear there's a whole website out there where men brag about their penis size
).
Similar to what
@ronin001 said about some men not wanting to reveal their wealth even if it's substantial, there are some who keep it private for the opposite reason and are embarrassed they don't make enough. So in a culture where some think their value depends on not only how much they have to spend, but also on how much they have in their pants, it be could some people aren't comfortable seeing other guys naked if they perceive those same guys as bigger than them.
Then again, he just could be naturally modest. For myself, not growing up with casual nudity, I was uncomfortable being around other naked dudes the first time I found myself in such a situation (also military related) and even to this day, unless I am at place where people are specifically naked for sexual purposes, I rather not be around a bunch of other guys who are causal about nudity, though it would not bother me at the same time as I've become much more blasé about it then I used to be.
Did you also bother to think that since he is straight but knows you are bi, that he could be uncomfortable with you be being nude around him due to him thinking you might have an ulterior motive, even if that is not the case? Even someone who seems accepting might still think you could be sending him mixed messages by insisting being nude around him or even think you are pressuring him to be nude himself with you since you say all your other friends have no problem with getting naked with you and using it for "bonding". But in the end, it really doesn't matter as to the why he feels this way, I would just respect his feelings and try to cover up whenever you two are together. If he is a true friend, there is more important things to your relationship than this one little thing getting in the way.