It was inappropriate thing to say...What does "worse" mean? Of corse there are people with "worse" lives - ex. less money, less friends etc, but it doesn't mean you feel better.
And even if you feel better, it doesn't make your feeling less important.

I've discussed this topic with my T. I said something like: "You can't start feeling better by knowing that someone's life is "worse". For example, you don't say that you have client with worse lives". And he answered "Of course I'd never say that!"