Yes, you should be concerned that it is stuck especially because it will not come out on its own all the way. You should call your vet immediately to see what he suggests and likely a visit is in order. DO NOT pull it out yourself as it could be stuck on something vital and you may cause more damage than good by trying to remove it yourself.
There's a chemical component in the makeup of some plastic bags that appeals to some cats -- sometimes very strongly. Since he is so powerfully attracted to plastic, you need to make sure your cat does not have access to plastic bags.
Here are some tips on preventing your cat from getting plastic to eat:
http://www.thecatsite.com/Cats/Cat_Behavior_Column_by_Wendy_Christensen/Cat_Behavior_Column_April_2004.html
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Thanks,
Rebekah