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All you can do in my opinion is to decide for yourself if he is likely to hurt himself (or HAS hurt himself) or someone else. If the answer is yes, ... call 911 or the police.
Otherwise, let him work it out. You can't talk sense into someone who is out of their mind. Don't mean to take a hard line. When someone says they want to hurt themselves, all we can do is tell them it would be a mistake and then make the phone call if we think they will actually do it.
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just my opinion. friends dont treat friends like this, and friends dont let friends think theyre dead. if he actually said, you made him feel worse, then stop talking with him. i guess you can call the police, but personally i would just stop talking. you cant live his life for him, if this is what he wants, just be nice and end things where you would be able to pick them back up at after he feels better. but to play along with whatever game hes playing is only going to make you feel worse, and worry you... which will break the friendship. if he continues with it, then thats what he wanted.