It sounds like there is something he doesn't like about himself and he's struggling to accept himself because of it? (from your first account of him saying this)
It sounds like your therapist is suggesting Active Listening - i.e. you try to catch the message your son is sending you rather than the actual words. You then validate what they are feeling - sometimes all they need is to feel heard, understood, and that it's ok to have the feelings they do. Usually they will guide you if you haven't caught the message right (like his saying he doesn't want to talk about it), or saying "no, I'm not (scared/angry)" etc.
It does sound like he's also using this to push your buttons as he can see his words concern you, but I think a session with the therapist is probably a good idea ITO working out how deep this goes.
