It means he wants to touch and rub as much of your body as he can.
Have you had sex with him yet? Do you want to? If you are not ready to get intimate with him yet then say NO to a massage. He can rub your feet but that is it right now until you are ready to have sex with him (wait at least 3 months or longer if you are a virgin or under age 18).
If you let him give you a massage he will try and remove as much of your clothes as he can or it can be code for "he is going to rape you". I remember when I was a kid a woman came to our middle school to talk about rape. She was raped. Her story was that she was in college, went on a date with a man who started talking about sex at dinner. She told him she wasn't ready to talk about that with him and to drop the subject. He brought her back to her dorm room and managed to let himself into her dorm. They were alone and he then started acting all nice again and offered her a "massage". And he proceeded to then take off more and more of her clothes and eventually forced himself on her and raped her against her will.
I will never forget her story.
The lesson here is that he wants to touch your body and see you naked. Massages usually mean you are naked or almost naked. It means he wants to rub your back, arms, legs, and private parts (if he can). If you aren't ready to get intimate then DO NOT accept a massage right now. If you are ready to get more intimate and you trust him then say yes you will like it if you trust and love him.
My BF massages me frequently. Back rubs, foot rubs, and private areas as well because we have been dating more than a year and have been sexually intimate before.