No, that's absolutely normal. As you get close to orgasm, muscles inside your pelvis draw the testicles close to your body (presumably to get them out of the way for intercourse). For some guys they get pulled very close. They normally don't actually go inside your body, although it can feel and look like that. (For more, read JackinQ&A – Questions About the Male Body.)
Do you find yourself masturbating more often during some seasons than others? Why?
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