Answer:
I think it means emotionally hurt. Or if this is wrong, he must mean that he is dead.
Step-by-step explanation:
He must mean that he is hurt badly, but in spirit or mind, because how can someone be hurt very badly, but be in no pain? Please tell me if I am wrong, thanks!
If I had the right context, I could see which one is right, but I am giving multiple choices. He could also mean he is dead, because they could be 'out' of pain, because of being badly hurt, but I am not quite sure, as I said, it depends on the context. Thanks again! Hope this helps!