Apparently it means he is dying, I believe this was nswered by Mr. X on another thread. :-(
Sorry to be the bearer of bad news.
Id keep an eye on him so he doesnt get under your sand and die there decomposing when he does finally die.
I had a red starfish and the exact same thing happened he lost each leg one by one. I finally removed him after he had one leg left. it was horrible. :-(