I wouldn't respond. I would go about my business and if he continues to talk about it, just listen, but do not beg him to stay or try to convince him that he needs to think about it. I want to share my experience because it was before I found this site.
My xh moved out on a moment's notice and returned 3 days later. He lived at home for 7 months acting out and reverted to a 12 yr old. Whenever I would ask him to do something, he would threaten me with "I'm thinking of moving out". Now, my requests were about taking the car in for an oil change on his day off while I was working, i.e., this such as this...nothing out of the norm. I would always thank him, but he just figured he would threaten to get me to stop asking him. So, one day, I asked him to do something at half time of a football game and here he comes with that moving out stuff again, but this time, he was thinking about doing it after Christmas. My response by this time was "whatever" and continued on about my business. Monday evening, when I got home from work, I told him that we needed to discuss his comments from the previous day. He had completely forgotten his threat. I told him that if he wanted to move out that he should do it now and not after Christmas as I did not want this uncertainty hanging over everyone's head throughout the holidays. He sat there and cried like a baby and when I asked why he was doing that, he replied that he was so confused and didn't know what to do. I told him that if my spouse opened the door and gave me my freedom, I would pack my bag and run like heck. He didn't respond. So, for two weeks he moped around and couldn't understand why I wasn't begging him to stay and I replied that I wasn't the one that wanted to move out...he was. It took two weeks for him to finally get up the nerve to leave before I got home. Once he left, he let me know when he got a place to live and I told him I was glad he was not homeless. He remained friendly until I have draft separation papers drawn up to his specifications....from that point on, he became a very angry man.
I have never, ever regretted opening the door and shoving him out. I rediscovered myself, knew where the money was going and I wasn't wondering each and every day he was off who he was with and what he was doing. His lead into crisis was questionable. He became very good at lying and hiding money and I discovered he was meeting women from chat rooms for over a year. So, when he left, I could finally leave the eggshells behind and put my life back together again and found peace knowing that I didn't have to deal w/his antics day in and day out.
Sit quietly, the answers will reveal themselves when you least expect them to. The past is gone, the present is a gift and you need to focus on today, allow the future to reveal itself when it is ready.