Being expectant parents can bring you emotionally closer as a couple, but not necessarily physically. While some women find that their libido increases during pregnancy, often much to their partner's surprise, the majority find that their sex drive diminishes in the early weeks.
In the first trimester many women are affected by fatigue and nausea, and so the last thing they want to do is have sex. If this is the case then make sure you explain how you feel to your partner, so that he doesn't feel rejected. Try to find other ways to stay physically connected with each other: perhaps you can still enjoy some aspects of foreplay, if not penetrative sex. If not, at least try to be affectionate to each other.
It may be your partner who's anxious about having sex. Many men worry about harming the baby through penetrative sex, although there is no chance of this happening.
Remember, if you do want to have sex, then unless a doctor tells you otherwise, it's safe to do so while you are pregnant.