I think if he honestly doesn't know how to enjoy himself alone, there are some things that could help him in that direction.

Children love to be creative and show you what they can make... building block sets with special pieces like windows/doors, wheels, trees, platforms, etc. can really help to steer the process until he learns to use his own imagination more.

In your time together, work on fun creative projects (lots of resources and instructions on the 'net!) and have him do everything except the cutting (he might even be fine with child safety scissors). Play lots of "let's pretend" games, dress-up, role-play, etc. Let him build forts out of couch cushions and blankets, or whatever's on hand. This will help get his own imagination stirring.

Pencil crayons, washable wax crayons, a colouring book or two and plenty of paper, on a table just his size (garage sales are wonderful for cheap kids' furniture!)... Be prepared to help and encourage alot until he gets comfortable on his own. If you appear bored with it initially, he won't develop much interest, but if you are involved and having fun at first then he will soon pick it up on his own.

If you have spent much time reading with him he can probably read some simple books on his own (or spend time with you learning until he can).

This way, if he whines that he doesn't know what to do, make a few suggestions and leave it at that. If he says he doesn't want to do any of those things, then just say, "I'm sure you'll think of something." He needs to develop some confidence on his own.