This does sound like a tricky situation, especially if you have already spoken to him about it. What I think you need to do is see if you can find out the reason that he does not want to go back to yours after a night out.
Maybe he just feels more comfortable in his own home. I would try not to take it personally because there must be a reason for these actions.
The best thing to do here is to sit him down and explain to him that this is upsetting you, and then ask him to give you a reason for him not coming back to yours.
Once you know this reason then it should be easier to talk through the problem and hopefully come to a resolution.
You say that your boyfriend will want to come pick you up and take you to his whenever he wants. If this is the case then you need to be more assertive and tell him your feelings, especially if you don't want to go to his.
If you let him pick you up whenever he wants then this could be part of the problem. Your boyfriend may be used to you doing whatever he wants you to, and this is why he thinks he can get away with never coming to your house.
Maybe if you set out some type of routine about when you let him pick you up, he will understand that a relationship is two sided, and he needs to make sure that he is fair.
I hope you manage to sort this problem out!