Sounds like t he mating dance. However....it is NOT acceptable behavior from a rooster if he is doing it to you or at you, even if you are holding his hen. It can end up that he will escalate his behavior until he begins to attack you. I know its cute at first, but its a sign that he does NOT see you as a superior being in his flock. And he should.
An agressive roo can make catching a hen a traumatic experience for you. He should be watchful and curious as to what you are doing, but never come at you or show any aggression. That includes the mating dance.
You might want to shoo him away when he does that, or push him down to the ground for a moment to teach him his behavior is not ok and that YOU are the head roo. If he shows any more aggression when you shoo him, like coming at your foot or hand, or attacking, you may need to look up how to tame a roo.
A good thing to do is to not let him mate any hens while you are around- just push him off her with your foot till he walks away. Thats what a head roo would do.