It's not like that stock, what has happened is the plastic has broken free. Mine does the same thing, it's pretty annoying. Sadly the only fix is a new steering wheel, unless you wanted to cut yours apart and re-glue it.
I have a really nice grey rubberized steering wheel cover on my tow rig, not sure where it came from as it was a present. The best thing to do is visit your auto parts store and give a few a try. If you don't like it you can always just take it off.