I wonder why he had the need to say that. Did you do or say anything that would make him think you would take the relationship the wrong way? I can't judge without knowing the context, but, generally speaking, it's stupid and, frankly, insensitive of a therapist to state something that is well understood from the start. Besides, it's a professional, not a "business" relationship.

"Business" sounds too mercenary, while "professional" refers to the specific parameters a.k.a boundaries and establishes that the relationship is based on the service that one party provides to the other. You have a business relationship with someone you share the profit with from the mutually owned business, and you have a professional relationship with colleagues, employers, employees. lawyers, doctors, therapists etc.

It sounds like he is not very confident about his own ability to keep it professional, but is projecting it on you.