He's anchored to a gorgonian
Actually, it looks a lot like a carnation coral to me.
Which brings me to what I was going to say to begin with:
That is so Cool!!! from the protuberances on his body it looks like he was made specifically to hang out on carnation corals. It is totally amazing that these animals can be so specifically designed to be so specific. Sorry, just had to say how cool that was.