It probably isn't a matter of him "loving" your cousin more.. perhaps they simply have more in common or get along better (remember they don't have to live with each other every day) Sometimes we "like" our cousins better than our siblings, especially when we are younger.
Yes some times it happens. The reason is the age difference and the attitude with which you live and treat you siblings. Generally siblings go easy with theirs cousins because of not much of age difference, they share and care a lot with each other, even they pass maximum time with them while you keep a safe distance with them. These may be the reasons for their love for their cousins.