(1) Ask him what he was thinking when he was born, or on his first birthday. Then remind him you can change forms much like he changes thoughts. Perhaps that will help him understand how inane his question is.

(2) Tell him that you will show him your true form. Then turn into something mundane to you but unappealing to him, like a puddle of goo or a spiky crystal perhaps. If he reacts negatively to that, you've gained new insight on how much he actually cares about you.

(3) Generally be careful and make sure to protect yourself. He seems like a nice enough guy but his curiosity could be exploited by other humans bigoted against non-humans. Practice your favorite disappearing acts. A favorite of mine is turning into a standing desk - for some reason that makes humans respect you but leave you alone.