Discomfort in paradise.

I love my boyfriend. But I don't know how to express to him that he sucks at comforting me in times of despair. I don't know how to get the message across to him. I've flat out told him multiple times what I needed from him. He just doesn't get it.
"What do you want me to say?" Is always his response. |&| I shouldn't have to tell him as a man what to say in those times.