I think alot of newborns are like that! my daughter would sleep on my chest for almost a month. but now she's two months and falls asleep in her crib every night. I think because they are so young and little they just want to be close to mommy and feel your warmth and hear ur breathing like they are used to in the belly :)
i had the hardest time getting my baby to sleep in her own bed. she didnt even sleep on it until she reached 2 months. she slept with me. it was not what i had planned but it was the only way either of us would get sleep.