I'd always suggest being direct instead of waiting for other people to take a hint. Tactfully, mind you. Phrase it in a relaxed, emotionally neutral way that doesn't single him out. Something like "Really, I am doing fine. When I'm at work, I just prefer to focus on the work itself instead of talking with people. I'm more at ease that way."

That being said, is this the kind of work situation where you're one of many options to make friends with or is it more of a you and him stuck in a room together all day type of thing? He sounds like a lonely person and if the two of you are stuck together then the best idea might be to seek a social compromise between you two's preferences, like designating some specific portions of the day as times when it's appropriate to have a conversation. You try to be sociable for him when it's on, he tries to be quiet for you when it's off.