Well, you shouldn't be embarrassed! It is a natural thing for air to be expelled. My hubby and I have anal sex sometimes. When he is in me and working on pleasuring both of us, I have expelled air from my anus. He laughs and says that he can feel it around his member and it feels good. It is just air that is in there from having anal sex. Nothing more. Most of the times when he with draws there will be air escape along with his member.
So, don't be embarrassed, unless you have sex after a large meal of gaseous foods.