First of all, it's not shaving that has made your hair coarse -- remember you started shaving because the hair was already there. The fact that the hair is now coarser is not because you shaved -- it would have become that even if you hadn't shaved.
Best to tell your boyfriend -- he may well have guessed anyway.
Some women have the same sort of beard growth as men do. In fact, far more than you probably would ever imagine.