He has a girlfriend but checks me out. Should I say something?

One of my supervisors (with a GF) who I'm pretty friendly with likes to check me out when I'm talking to him. He will scan my body with his eyes quickly. Or check me out from across the room. He has done it in a room full of people as well. I don't see him doing it to anyone else but I don't think this is exclusive to me. I think this is how he is. He is otherwise a professional/friendly guy. I haven't said anything to him. I act like I don't see it. Should I say something to him in a joking way?
He has a girlfriend but checks me out. Should I say something?
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