In Chapter 1 of Of Mice and Men, after George takes a dead mouse off him, Lennie threatens to run off and live in a cave like a bear. George's response is that Lennie won't be able to find any food and, likely, die.
Steinbeck uses much anthropomorphism (comparing humans to animals) with Lennie to reveal his Social Darwinian themes. Unlike a native bear, Lennie does not have the survival instincts necessary to survive alone in the wilderness. He obviously needs a companion, like George, to help him find work, food, and shelter.
Ironically, in the end, George will have to put down Lennie like an animal after he kills Curley's wife and the posse is after him.
I do not know which time you are talking about since Lennie says this to George more than once in the book. But it does not really matter -- George's response is always pretty much the same.
George typically tells Lennie more or less nicely that Lennie should stop saying that kind of stuff because they will always stay together. Some of the time, George says it angrily, telling Lennie to shut up. Some of the time he is kinder, just tell Lennie that he wants Lennie to stay with him.
To me, it's kind of a ritual where Lennie shows that he knows he can be a pain and George confirms that he wants Lennie even when Lennie is a pain.