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It is actually quite different. I don't think your boyfriend is lying to you, he probably just doesn't know any better, since he likely hasn't been on the receiving end of anal sex before, or may not have performed it on anyone else before either.
Your anal tissue, for starters, is very different from your vaginal tissue. It can't lubricate itself, and it's more prone to small abrasions and fissures. So, to begin with, you are more susceptible to STIs and infections via anal sex, and you certainly DO need a condom. Anal sex is considered to be as high-risk, and sometimes higher, a sexual activity than vaginal intercourse is.
In addition, I don't usually recommend anal intercourse to teens for a myriad of reasons, one of which is that in my experience, I haven't seen that most younger partners have the big-time patience or level of communication skills with their partners that is really required to make it anything less than pretty uncomfortable for receptive partners. Anal penetration by a penis is not a very good way to start in any case.
If you do want to experiment, try a gloved and lubricated finger first -- and not with baby oil, with lubricant like KY Jelly. If you don't like that, or that hurts, a penis is not going to be pleasant either. And any sexual activity should be about feeling good -- not just about avoiding pain.
As far as whether or not you'll still be a virgin, it depends on what you think virginity is. There is no clinical definition.
Finally, anal penetration may be more painful than initial vaginal intercourse, especially if you do not like general anal play, and especially without a patient partner who is keeping your pleasure and safety in mind. My advice? Stick to the basics for now, and if you want to try some anal play, try it yourself first, with your own two hands. If you like that? Then you can talk about anal play with your partner and work into it gradually, as it feels good at whatever level or type of play works for you.