Gosh this is really tough. I think that young kids are naturally curious so I'm less concerned about that, but it's the part where this particular child is being manipulative. It may be that he/she is being told the same thing by a predator, or it may be that this kid is quite forceful and bordering on bullying. One would hope that there is and has been no abuse involved at any time, but either way, you should talk to the teacher and if she/he is not being responsive, then the head. I would hope that the school would handle it sensitively and speak with the parents of this particular child rather than rush to contact the police or social services, but schools have experience of this and they will of course know the parents and know of the child's circumstances. If there is something more sinister at hand, the school will know when higher authorities need to be called in.
I have been using the NSPCC's pants rules with my kids and teaching them the mantra "my privates are my own". But there are also some good books out there like My Underpants Rule
https://kidsrulepublishing.com/ Also, there is a lady in Australia called Cath Hakason who talks a lot about this. Her website is
https://sexedrescue.com/
I really hope that this was an innocent incident but either way, you need to speak to the school and it would be a good time for the school to talk to the kids about body safety and respect. In the meantime, as parents we need to protect our kids and empower them to say "no", whoever it is that is asking!