My friend says that I'm not the kind of friend that he wanted, and that it's contributing to their anxiety.
I'm a little confused. What sort of friend do you think they expected?
He seems to want me to talk to him a lot, and be supportive of everything he says and does, but that's just not me.
It sounds like your friend's need for attention could get exhausting. Expecting someone to support you in even your worst actions and opinions isn't realistic or good for anyone.  If he's not willing to accept the kind of friendship you can offer, it might be best to end the friendship.
You might be right. I'm starting to get a little sick of him.
Yeah, it seems like he wants a therapist instead of a friend. Of course friends should be there for each other, but what he's expecting of you is far beyond something a friend can reasonably provide.