I can think of several reasons.
If the breakup was ugly, it could be a parting shot, a final way to get back at you before you two lose contact forever. He's angry and doesn't want you to have anything that came from his heart because you no longer deserve it, he could be thinking. Or maybe he doesn't trust you not to show them to your friends and make fun of his sad prose.
He could be embarrassed for you to have those honest expressions of his feelings now that you two are defunct. Some guys have a hard time opening up, and the idea of an ex having his deepest thoughts on paper to read whenever she wants could be mortifying to him.
Maybe he thinks they are masterpieces and wants to turn them into a book.
Or it could be that he's going green and wants to recycle his words for his next girlfriend. Whether or not he will copy them to a new note or just scratch out your name and other vital details and replace them with hers, I can't say.
Whatever the reason, you don't have to give them back if you don't want to. He wrote them, but then he gave them to you as gifts. They belong to you now.
You could always burn them and give him back a pile of ashes. That would be mean, though.
I think it is that first reason you gave. My guess is this is a very bitter break-up and he wants to sever all ties. He wants there to be no shred of evidence of the relationship remaining. How very sad.
Kinda loving the ashes idea, though .... who said the ashes really had to be his letters? HE doesn't know that. ;-)
I’m wondering why you would want to keep them. Sound like there are still some feelings there on both sides. I took everything that was an “us” or “him” thing, shoved them in a box & sent them back to him. I needed to be done & move on with my life; A closure thing for me. Are you going to give them back?