Be honest? If a client said exactly what you typed to me, I would politely respect their decision and wish them the best, advising them to contact me if they have any questions or concerns while performing their own rehab.
I know it is difficult but beating around the bush or making something up will likely causing both parties problems. Do NOT just not turn up to sessions!!!!! What an ignorant comment, a practitioners time is valuable, and often other clients who want treatment can take that treatment slot.
Once again, just be honest, he shouldn't be angry or offended.