Why do I feel an intense orgasm when I masturbate, and not the same feeling when I have intercourse?

Both pleasant. No reason why you can't enjoy both. Maybe less intense with intercourse, but pleasure may last longer in form of foreplay, act inself and pleasureable touching and stroking after intercourse. U could see a sex therapist if this really bothers you, otherwise enjoy both.
Sensate focus. For some reason, you are focused in on the pleasure your are geting with masturbation. With intercourse, you have a different type of pleasuring and you are perhaps not focused in and maybe it is just a control thing. You are not controlling the pleasure or sensation. It is different and it is different for each person. Should this become a problem, you may need to see a sex therapist.