Agree with what PP have said.
If it was me I'd react the same way and be pretty devastated that he needs to look elsewhere rather than be free to talk to me. I'd probably accuse him of having some kind of affair/behaving inappropriately.
That being said, there is a very slim chance that he's planning something nice for you with her help?!? I hope it's the latter.
DH and I have agreed that we won't be having exclusive friendships with anyone from the opposite sex besides some of the very close friends we had before we got together, and even there we'll always be mindful of how the other person feels about our interactions with these people.