The next time he says "I need to go out on my own sometimes" you can say "that's fine, when you're a grownup, you can go do whatever you want. But right now you're three, and that means you stay with me, because you're not capable yet of understanding what freedom entails, nor do you have the ability to perceive threats and possible consequences."
Or, alternatively, "But right now you're three, and that means you stay with me, because I'm the Mom."
I'm not a fan of either approach. The first one is belittling, and the second one is an invitation to rebellion.
In my DD's case we already had this problem solved before she was three. We'd catch DD doing some unsafe behavior, and we'd ask her to stop. She'd ask why, and we'd tell her what was going to happen. She'd refuse, and as long as the consequences weren't going to be more significant than a boo-boo, we'd stand by and let events unfold as predicted. Then, after a quick injury check, we'd say, "See. Told ya."
This led DD to wonder how in the world we knew what was going to happen. Clearly, we knew things that she didn't, and listening to us was a good way to avoid getting hurt.
So, when she was three and ran away from us in a parking lot for the very first time, DW yelled, "STOP!", and DD froze in her tracks.
She demanded to know why, of course.
