Well he is obviously used to co-sleeping and may feel a bit afraid on his own given your place is not his usual environment. Although it might be annoying could he maybe sleep on the floor in your room on a mattress rather than in your bed? This at least could be a compromise.

You could also try having a special toy at your place that he sleeps with when he stays with you. I also wonder if a night light might help as it is a pretty common thing at that age to be scared of the dark.

I just saw an episode of the "Nanny 911!" show last week that adressed this specific subject! You might check out their archives. I believe the Nannys method of making them sleep alone, was to simply tell them that THEY HAD TO, firmly, yet lovingly...period. She consistently held her rule by doing this over and over, not giving in to their attempts to resist by whining, physical fits, badgering, guilt, temper, threat, martyrdom or the butter-up attempt. And they finally just did it! It was only agonizing for the mother of those kids.
I recommend a video series on encouraging good behavior/managing difficult behavior called 1-2-3 Magic by Dr. Thomas W. Phelan that can usually be borrowed from the local library. This "discipline" method has been a miricle for me and many other parents I know.