First and foremost, that phrase if NOT even allowed. I don't allow it personally, or as a coach or teacher. Tell me you want/need help, tell me it's hard, etc. but DO NOT tell me you can't.
If you don't have house rules....make them. Make sure there is a NO WHINING rule, too. Teach him to communicate in a more grown up manner. Tell him that as he gets older, we don't communicate the same way because he can TALK now. That is the age when they want independence but they ALSO want to know they can still have you do things for them and that's okay. They just have to learn how to HANDLE things differently. They only things they've pretty much known up to now, are whining and crying to get what they want.
If he's doing something that is a skill, help as much as you can, maybe even in steps on certain things and acknowledge the small accomplishments. In other words, he may not be able to pick up the barn or whatever he's been playing with, but he CAN pick up the animals that go it in, etc. Teach him also about teamwork and doing things together.
At this age, I think alot of it is a security issue when all of that comes out. Take steps on helping him become independent. Let him make choices at the grocery, too........kiwi or strawberries, apple or banana for your snack, would you like green beans or broccoli for dinner? It lets them think they are helping you and helps them to start making choices.