This is perfectly normal, and something that can be observed in the majority of children at all ages - they enjoy physical play, including rough play, especially with trusted people.
For a start, there has been a lot of study and evidence built up in the domain of attachment theory - from the earliest stages, physical contact and warmth are critical needs for developing children. Harlow (1958) did a famous experiment showing that baby monkeys prefer cuddly mothers to food-providing mothers. In other words, physical touch is even more fundamental to early psychological development than eating.
As they grow and develop, there is a host of literature demonstrating the value of rough-and-tumble play among children of all ages. It's theorised that there is a similar drive behind many boys preferring physical 'rough play' and many girls preferring physical play with dolls and soft toys, and that these are often signs of positive and typical psychological development.
At all stages, physical touch with a trusted person activates parts of the brain associated with pleasure and safety, and turns off the threat switch that would otherwise be activated by threatening behaviour. So your child is probably having a blast.
In what you describe above, your child is relishing the fact that he is receiving physical attention, and is responding to your own joy and enjoyment in that moment. You are in a sense also beginning to teach him how to play, and modelling an expectation for physical play in future.
Babies are typically very straightforward in showing whether they are feeling happy or sad - if he was afraid or uncomfortable with your play, chances are he would not have any trouble showing it in a way that you understand.
