First of all, I'm not sure if you are clear, but what did your son mean when he said that he "had sex" with the stuffed animal and the cat? Did he simply mean rubbing against the stuffed animal and cat as a way of stimulating himself, or something else? Regardless, I have a couple of thoughts:
1) your son's curiosity about sex and interest in sex is normal for a boy his age. I have to admit, I'm a little surprised to hear some of his questions (e.g., can a boy get pregnant), which reflects his lack of knowledge about sex; but his curiosity is expected for a boy around his age.
2) You and/or your husband may want to have a more detailed talk about sex with your son, especially if there is no health class/sex education provided for him. Telling him "that's inappropriate" isn't going to stop him from wanting to satisfy his awakening sexual urges. But giving him information may at least help him to contain his sexual urges a bit -- for example, that humans have sex with other humans (for procreation, love, etc.) and don't as a rule have sex with animals, that boys can't get pregnant and why only girls can, etc.