Perhaps this priest truly feels uncomfortable being called “Father,” especially if he is not just new to your parish but new to the priesthood and unused to his title.
Even so, it is a really bad idea, particularly in this day and age, for a priest to deliberately break down respectful formalities that protect the boundaries appropriate to certain relationships. When someone in authority does this with his subordinates, especially a spiritual authority with those entrusted to his spiritual care, it can be construed as “grooming” and could be a warning signal that other boundaries might be crossed down the line.
Again, I emphasize that it is very possible that your priest truly does not understand the implications of his actions and simply thinks it “friendly” and egalitarian to invite fellow adults to use his first name, without realizing that those “fellow adults” are in fact his spiritual children in Christ. Even so, perhaps a group of concerned parishioners could approach the priest and, as a group, say respectfully and gently: “Father, we represent parishioners who are very uncomfortable at the idea of calling you by your first name. We all agree that we prefer calling you ‘Father’ and hope that you will respect our desire to do so.”
As a side note, it should be mentioned that Roman Catholic custom is to call secular priests by their title and last name (e.g., “Father Smith”). Priests who are also consecrated religious are customarily called by their title and first name (e.g., “Father Paul”).