J.B.
My oldest son and step-daughter were 5 when my husband (soon to be ex at this point) and I got married and the first of their two younger brothers came along less than a year later. Although we didn't move away from family, for my son, life went from just him and I together in a comfortable little apartment to me, him, his new dad (never had contact with his bio father), a new sister, and a new baby brother living in a house - and starting kindergarten - in a short period of time.
It was a big transition for everyone, just like your family change is a big change for you little guy. His world is upside-down, and he's right - if you hadn't gotten married, it would still be the two of you with your family and whatever contact he had with his father. His perception of the change is accurate.
If I were you, I would focus on acknowledging his feelings and emphasize the positives. Things like "yes, a lot has changed but now our family is growing and there are even more people to love each other" or "we did choose to move, but our new home is [bigger, prettier, has a yard..whatever]." I'm assuming that you moved to improve the quality of your life and are in a better position now than before, so share that repeatedly.
Regarding the comment about not having a dad at home, tread carefully here. This is a sign that he doesn't feel like your husband is his dad, and you have to validate that. Instead of coming across as "yes, you have a dad at home too, it's [DH's name]" I would acknowledge that he misses his dad but that like lots of other families, you have one where there are two dads to love him - his biological father and his step-father - and that over time, you'll all feel more like a family.
I would also make sure that you are spending some 1:1 time with your son and keeping up some routines from when you were single. I used to go out to dinner (something cheap, either a burger or pizza) on Friday nights with my son. After I got married, Friday nights were still mother-son dinner nights for a while. That was our sacred time to reconnect and have some time together without everyone else in the family competing for my attention.
Finally, I would recommend some family counseling as you go through this transition. I regret that we didn't do that earlier and proactively as we were blending our households and starting our family. In retrospect, it might have saved us from a lot of pain and heartache to move forward with guidance and have a 3rd party help us to navigate the choppy waters together. Although we both had kids, and had been friends then dated then engaged for a total of 3 years before marrying, we had vastly different approaches and expectations and those became apparent after we were all in one house. My son suffered the most out of all of us and it took years to really earn his trust back. Hopefully you married a great guy who will work every day towards earning your son's trust and bonding with him!