It is not likely to become pregnant through anal sex, whether you are on your period or not.
However, there is still a chance. I know it sounds icky, but if your guy isn't wearing a condom, sperm can leak, and potentionally enter your vagina. Sperm can live up to seven days inside a woman's vagina, so whether you are on your period or not may not make a difference.
Don't forget that having unprotected sex, no matter what time of the month it is, can still result in pregnancy. It is not as likely to become pregnant while on your period, but it is still possible. While one egg is on its way out, there is another one on the way. Don't take chances, and read up on periods and sex. Maybe you can educate your friends on the myth about not becoming pregnant on your period.