Asking 'what to do' suggests that comment has caused something in you. Is it bothering you?

Some people use such terms (e.g. 'dear' or 'my love') indiscriminately and don't necessarily mean anything by it. That being said, therapists ought to avoid creating ambiguity, which clearly they have done here.

As to what to do: be frank, tell them how that comment makes you feel and/or what they meant by that and/or to stop calling you that if it bothers you.