You're in Japan, ne?
muzukashii desu nee . . .
boku, shinrigaku o yoku naratta ...
For your own safety, do not confront or rationalize with him. It might help to laugh along with him etc. Believe that he actually hears voices and is talking to someone else.
A rule of thumb I always follow is: never tell a kichigai person that they are kichigai.