Let's say I work for some company as programmer and I want to get some extra money by making some programmer consultancy during evenings. Do you think it is ethical that my employer requires me to inform him about such of my activities that I do in my free time? And do you think he should have a right to forbid me such activities?
Ethics and legal are separate issues. If you are worried about legality then contact a professional.
From your boss's point of view it is also likely to be legal. There may be companies that could cause issues if you worked for them. A competitor, or something that would reflect badly on your employer.
I can understand you don't like the limitations on what you can do while not on your company time. It is not that your boss is trying to stifle you it is that he is making sure the best interests of the company are kept.
You should also make sure your performance doesn't dip while you are working in extra projects. It would be reasonable for your employer to be unhappy if your under performing due to having a side job.
While I can understand your employers point of view, in the end this is going to come down to whatever your employment contract (if any) says along with your local labour laws.
It may be that you signed something that says your employer has this right, or it may be that it was never mentioned and hence is not reasonable.
It also may also be that if your employer doesn't have a legitimate right that if you continue to do outside work you may find yourself looking for a new job.
In other words, if this is an issue then you should consult an employment lawyer and get a real answer.