Watch him closely for a bit. I've been going through this same thing almost. I put my white male betta, Falcore, into a 5
gal. tank about a week ago. I had a filter, a heater, and a bubble curtain. The bubble curtain seemed to cause too much current for him, so I took it out and just put in an air stone. Then I noticed his fins were getting sucked up by the filter when he'd get close to it. The next day, one of his fins were hemorrhaging badly, so I took out the filter, and left just the air stone.
Plants for him, to keep him away from the filter, are a good suggestion. I still would like to find a way to filter without having to worry about him getting caught up in it at all...I've started learning that undergravel filter systems aren't good, so I haven't even considered that. I don't think they make an undergravel filter to fit the tank he's in anyway. Is there something else that wouldn't be powerful enough to suck his fins in, to the point he has to struggle to get away from it?
Anywho...kansaschic, I don't know what color your betta is, but if he's a dark color, I don't know that you'd be able to see the hemorrhaging if it's there. Falcore's white, so it stands out pretty dramatically. It might be that your filter doesn't pull quite as roughly, and your betta just likes it...the way kids like to feel the end of the vacuum cleaner on their hair