It is actually a physiological thing that bloodflow is minimized to the penis during non-sexual physical exertion (muscles take priority), shrinking it. The testicles ascend a little as well, presumably to decrease the risk of trauma.

It's also possible (though not common) for testicles to ascend into the abdomen in response to intense stimulus. They usually come down on their own, but sometimes a urologist has to help them along.

But I'm also not quite sure what the OP means by their penis "sinking into them."