Rabbit is eating his new bedding... help please?

Since my rabbit has long fur, carefresh bedding and similar ones stick to his fur really badly and even get knotted up. So, today I went and got some "all natural"paper pellet bedding. Its good for not sticking to his fur, but he keeps eating it... While it is natural and just paper I am worried about an impaction or something. He has plenty of food pellets, water, hay, and chew toys, so I'm not sure why he insists on eating the paper bedding. Is it really bad for him to be eating it?