Does he have Shamanic beliefs? A Shaman believes that people experience 'soul loss' due to traumatic experiences, that their soul can literally become left behind and needs to be recovered.

I understand how horrible and upsetting it probably is to hear him say you don't have a soul at the moment. However, I very much doubt that he meant you are a shell of a person or anything negative, more than you've lost a part of your essence (which could be understood metaphorically) and he could work with you on regaining your true sense of who you are. That is really what mainstream therapy is about at its depth, except most therapists shy from using the word 'soul' as it has difficult or offputting connotations for some people.

Could you talk to him about how his words have affected you?

I did go through something like this with a shamanic practitioner but I didn't resonate with some of her beliefs. I got something out of the process but I have made more progress with more conventional therapists and my own spiritual understandings.