4 month old(im crying)

Isn't he supposed to be ok while held. He's fed and clean and he has toys but nothing works. He cries while he's being held. He cries all the time. I feel like just putting him down and leaving him crying. Is he like this because he's spoiled? I feel like he should be able to enjoy himself alone for a while. I am so close to giving up that im seriously considering the cry it out method. Nobody is any help. I cant figure out how to get him to be ok. What can i do but let him cry it out. He's healthy and fine so no dr can help.