S.A.
This must be a 3 year old thing, because my son has just started asking the same thing. I explained to him the mommy and Daddy are married and married people sleep in the same bed. He did respond that he wanted to marry me then and I told him that he is my baby and babies sleep in their own beds. I told him when he grows up he can get married to someone he loves very much. Seemed to work for him. He still asks if he can sleep with us, but I remind him that we're not married.
I also started telling him that we can meet in our dreams. I let him pick the place and then we go to our separate beds to sleep and meet in our dreams. In the morning, I talk to him about the "place" we went and he tells me some great stories.
Good Luck with this! Three is a tricky age!