You're supposed to, yes, its polite and a sign of respect. However, if they don't break it every now and again (like you normally do) and they are looking directly into your eyes (normally we're actually looking other places on peoples faces or just below their eyes or above) then its either they like you or are trying to intimidate you. He's probably not trying to intimidate you because this would be more of a... he's about to attack you kind of thing. Which, I can tell you it isn't.
If its creepy though, maybe just try to make less eye contact with him on your part to maybe give him the idea that you aren't comfortable without having to actually say, "ew, you're creepy".