Hi Belle, yes we have had this before! My DS7 was going through a rough patch with school and friendships last year and said those exact words to me. I was so upset and worried about his feelings and DH and I spent a lot of time trying to talk to him about it, but by the next day he just said to me that he didn't mean it and he said it because he was frustrated. He has since skipped two grades and is a different child, so much more confident and happier.
I also think that at this age they are testing boundaries and possibly also feeling insecure (especially if they are feeling different to other children) - I think that you have dealt with it perfectly as you have re-affirmed your love for him and he knows that he can always go to you with any problems. Try not to worry
