Hmmm, there isnt much else you can say really. If he feels down, anything you say, will just sound patronising to him. I know you mean well, but telling him that you care about him loads doesnt mean anything to him.
Like you say, he wants a girlfriend, or someone of a similar role, that can give him the attention he needs. I suppose the best thing you can do for him, is try and fix him up with one of your mates. If he gets too far into that depression state, it is really hard to get out of and sometimes people never do. Try and do summat quick before he gets to that stage...