It's jsut a feeling that he 'shares' himsewlf with another woman, even if it is only on an emotional basis. Jelousy is wanting something someone else has got, so you won;t worry too much if they are sleeping together - that's not your relationship with him, no issue in her having something you don;t have with him. Sharing secrets and thoughts, that's different, and that is on 'your' territory.
My advice? Say nothing. his relationship may not last, and it would be a shame to jepardise your relationship with him over this. If it becomes long-term, and it still bothers you, that's the time for a discussion.
If you can say nothing without it upseting you, or affecting your friendship, it's best left, what he doesn;t know won;t hurt him.