Sounds like your newborn is "sleeping like a baby." Parents are often surprised at just how much noise a tiny baby can make, even while sleeping. Of course, you want to check with baby's doctor to make sure nothing is wrong. But if he's healthy, it's just one of those things that he'll grow out of.
New babies' neurological systems are still quite "raw" for awhile. They're still getting all of their body systems regulated, including their sleep/wake cycles. That's why they have those weird, semi-conscious states where it's hard to decide if they're asleep or awake. This will improve over time, and by 3-4 months of age you should notice a big improvement.
Throughout the first year, it's important to comfort baby when he's upset -- that is, if he is truly upset. If he's just grunting and making noise, you might consider having him sleep in his own room so that YOU can get some rest!
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