It doesn’t sound particularly constructive the way you have described it, however, you would hope and expect that the therapist has said this to try to help you. So I think to start with you should give him the benefit of the doubt and ask him to explain further what he means by this. A non confrontational way might be to say something like ‘last time you said that I am good at depression, can we explore this more today so I can get a better understanding of what you mean and how this effects me’.