I'd give the answer to that (why you said no) and then say "asked and answered" after that. These techniques don't necessarily stop an age-expected response.
Hopefully we can give them tools for the future and temper the current response, but it unfortunately doesn't mean the responses always instantly go away.
Since he's five I would also suggest checking out the
Dealing With Disappointment thread, as you could be introducing skills to help him deal with the frustration he's feeling. The author suggests one skill per year of age.
HTH!