Relationship/Network advice

I've been building a good relationship with an Executive Director in S&T.

He will likely give me a referral at this point for an internship at his bank.

However, I have the goal of interning in NYC (far from where we are located).

Potentially at a more prestigious bank as well.

However, I'm worried that he may see this as me betraying him.

He seems like a genuine guy, and I would want to maintain a contact with him later in my career as well as he has helped me a ton.

I'm worried and confused as to how I should approach something like this.