My daughter does this every now and then, but she isn't all that bad about it. I usually calmly tell her that no, I am not hurting her, and it is not a good idea to say that when it isn't true or I won't know when she IS hurting.
Keep in mind also that you ARE hurting him, in a way, just not physically. It took DH and I a long time to realize that DD gave us the "hurt" cry when she was emotionally hurt just the same as when she hurt physically...and that maybe, to them, it is almost the same thing.
My brother went through this real bad, though, and my parents had the same concerns you are having. He would even do this in public (like if he was in a store and my dad tried to lead him away from something he wanted to look at). It was real bad for a while. But nobody ever said anything about it, and after a LONG phase and a LOT of patient ignoring from my parents, he got over it.
I pretty much don't have any suggestions for you, other than to avoid picking up your son when he is in that kind of mood if you can. I just thought hearing from someone might help raise your patience level a bit :-)
Mama, homeschooler, midwife. DD (13yo), DS (11yo), DD (8yo), DD (3yo), somebody new coming in November 2013.