When Lt. Henry says that he has never loved anyone, what does he mean?

Depends on where you are in the novel. If it is early, he has not found the person to whom he can feel that close; he perhaps has no idea what love really is. On the other hand, if you are at the end after Catherine has died, then he is trying to avoid the feelings that he has had as he walks away from the tragedy of losing someone he has, indeed, loved.