If I were you I'd empathize, empathize, empathize. That's what I do when it happens to me, and it seems to smooth things out for us. I am usually the parent on the receiving end, because dh has been working really long hours the past few months and ds hardly sees him. They love each other so much, and if they're alone together and I try to come in or participate, ds will tell me to go away. He's 27 months old.
In our family, I see it as a healthy request for more time with dh, and I will try to honor his request so that they can reconnect. Spending time with a parent alone is much different than spending time with both parents, and kids sometimes need alone time with the parent they see less.
An example: on Mother's day we went on a hike and a creek walk. It was the first day off DH had had in a while. We were all having fun throwing rocks, and then dh and ds started playing a silly game together. I saw it as an opportunity to get some alone time for me and for them, so I went on a walk for a while. When I came back, they were still playing, and when ds saw me he said "No! Away, mama!" I said "You love playing with papa and you don't want to stop. You love your papa and you think you might have to stop being with him if I come close." Ds was quiet. I said "Well, I can take a quick walk up this other trail, so that you guys can spend more time together. I'm in the mood to walk a little more." Ds then said "can we come too??", and asked papa to carry him across the creek. We all walked together for a little while more.
But you can't expect the empathy to always change the behavior -- sometimes the child will continue to feel attached to playing only with the preferred parent. The point is that that's OK. The empathy usually just smooths things out emotionally, so that the child isn't feeling stressed by his feelings.
That's our experience, anyway.