First of all, let me welcome you to this beautiful site! No doubt, you might be feeling tonns of embarrassament, frustration and despair, but dear buddy, you will have to digest the hard fact, and face it with a bold courage. If he says, it is better because, if he would not have said, but have continued thinking for her and meeting her, in that way, it might have hurt longer and further/more, after you would have come to know about this clandestine fact. Is not it? Thank him for telling you everything in black and white. And, dear, just digest it. This is the only way out.
It is more pleasant that still he is with you, and still loving you, and by and by everything would be smoother, and lovelier. Time is a great healer, and makes such points forget too. Enjoy his love, relish it.
The world is big and vast. There are plenty of boys men, in the world, just keep it in mind. If he leaves you, just remember, you must have someone better waiting in the wings, for you.