I would think if he objects then he is objecting to your method. Also weight loss without immediate cause (like diet or exercise) is concerning as it can indicate serious illness. The other thing I can imagine is if he thinks the drugs he wants you to try are important to your health but you are rejecting them solely on their purported effects on weight. (Not that that's not a fair concern on your part, just that it could be less important than controlling your mental health.

Those are just guesses, of courses; otherwise I can't think of a reason. Ask him.