Some birds simply don't like to bathe
Birds, however, are very clean, and simply preening keeps their feathers quite clean and in good shape, so if he just doesn't like bathing, I would just let him be. He may decide to enjoy it eventually, and in case he does, you can keep a shallow pan of water in his cage (no more than 1 inch and a half deep).
My budgie loves to bathe, so I've never had this problem, but plenty of other members have
It's nothing to worry about