But if he truly cares for you, why can't he respect and honor the fact that you are siblings?
I think he's just a bit too much of a drama queen.
He's not searching the world for other opportunities and meeting other girls.
I think just because when you told him that you don't think that you're feelings for each other will go anywhere. Him being all depressed and sad is all an act so that you would be sorry for him and get even closer.
And if you guys are still in school, (dont know what grade) but I know many relationships (not all) in school don't really work out. Especially if you were to date your brother, think of the criticism you will get. Have you thought how your parents would react if they knew? How they'd react to your brother being the first to admit his feelings towards you and causing you to question your own feelings towards him?
Because you are siblings, you have a strong bond with them. But it shouldn't be that you'd actually think of dating one another and getting married in the future. Perhaps your brother is lonely. He needs other friends to hangout with. Nothing wrong with hanging out with your sibling once in a while, but not all the time. It creates a bond between you that when it becomes strong enough, you wont let anyone come between you or perhaps even neer you both that all you have to depend on is each other and that isn't totally healthy in a relationship with anyone.
My advice to you is, try to keep some distance from your brother, while you're in high school anyways. Focus on your friends, getting new friends, school grades, getting a diploma and all that Jazz.

I know an anime that is kind of a good example of this. If you're into anime that is.