This could either be a security thing or a soothing thing. If its a security thing, you will have problems later as well. If its a soothing thing, than he'll out grow it. Not much you can do. You can talk to his pediatrician. My sister has a 12year old daughter that still suckes her fingers and its all due to the fact that my sister has been very abusive to her kids and always screaming or hollaring, when I took her kids in for her for 4 months, I had her broken from sucking on her finger. I had asked her why she sucks on her finger and she just shrugs. See my sisters kids when they were small were very badly abused by my sister and her husband would never allow the kids to play or do kid things. When my sister left her husband all she would do that I know of is yell and scream at them. It breaks my heart, but those kids have high stress levels. If any child has high stress levels they tend to do things we don't approve of or understand. My middle child is 10 years old and wets to bed alot, due to the fact that her dad never wanted anything to do with her since she was born. He was around until she was one, than just up and left, which made her really insecure. Than I had her okay with everything and things fell apart for me, so I had to put them in their fathers care for a few weeks. I had to move in with my sister (the one I was talking about above) and had gotten my girls from their dad, and found out that not only have my girls been emotionally hurt from him and his friends, but as well as my sister and her husband. I had to try to find a safe place for them, so I can nurture them better, but didn't have the means to do what I needed to do. Now, we're in a better place and have been for 4 1/2 years. She has nightmares from when she was younger and I understand that, but she starts wetting when her levels of stress go up.
I just hope and pray that your son isn't under a lot of stress and some people say kids don't understand. Everyone would be surprised what kids really know! They can see and hear everything, and they understand life way better than any adult! Good Luck.