Remember when he tells Cloud "stop pretending that you're sad"? That's because he literally doesn't think sadness is a plausible emotion. Again, you're meant to pity him for that.
He was trying to convince Cloud that he wasn't the real Cloud. Telling him that he was a puppet and therefore has no emotions:

Sephiroth
"Ha, ha, ha...... Stop acting as if you were sad."
"There's no need to act as though you're angry either."

(He rises into the air, looking down at Cloud.)

Sephiroth
"Because, Cloud. You are..."

(He rockets, spinning, high up into the air. His body becomes a tiny green
sphere, which lands at Cloud's feet. The screen glows red. Cloud covers
his eyes.)

(Boss battle with Jenova-LIFE)

(The screen goes black.)

Jenova
"Because, you are...... a puppet."

Cloud
"I'm...... a puppet?"
Sadness not a plausible emotion? Sephiroth has felt sadness many times before. Like the time he found the notes in the mansion's basement. I'd say he was pretty upset, and angry...

Anyway, you people need to stop telling each other what to think. :P Explain why you like or dislike a certain character but don't tell someone that the don't like the right character or that their opinion is wrong. O_o That's just weird. o_O