See, the tricky thing about coming out is that it's different for everybody. If you think he's going to get violent (or that it wold somehow get back to your parents and your parents wouldn't accept you or something, you know, if you have a legitimate reason why you have to be closeted) then don't tell him. If you don't mind people knowing you're gay, then by all means, tell him you don't appreciate that kind of talk because it's small minded and it's directly offensive to you.