I'm going to tell him I'm not his therapist
Has he been treating you like you were his therapist as of lately?
Well, he will always want to talk about his problems but he never really asks me for advise.
It's good that you have tried to help your friend, and were willing to listen to his problems. However, it sounds like he is starting to take advantage of your kindness, so maybe you can politely recommend that he see a fully-trained therapist.
What if I'm sick of him talking to me about his problems.
Exactly, and for this reason getting him to talk to an actual therapist could be very helpful. It is nice that you are there to listen for him, however it seems like it has gotten a little out of control as of lately. You should not have to feel taken advantage of here.