Am I too thin? Does it make me unhealthy?

I'm 5' 6" and 110 pounds. I have a smaller than average build. I eat what I want when I want, and have PLENTY of fat in my diet. I eat healthy, lots of bread and rice, dairy, fruits, veggies, and fish. I also have a couple of sweet snack cakes every day. I exercise a TON, not to lose weight, just cause I like exercising. I jog about 2-3 hours a day. I notice that a have some prominent bones, really only in my hips and mid-back, but when I do gain weight I just get a massive double chin. According to BMI I am underweight. However, everyone tells me they think I have the perfect body. I'm thin but not anorexic-looking, and while I have a tiny chest I'm plenty curvy down south. I don't understand, why does BMI tell me I need to gain weight?