What do you do when a taken guy flirts with you and then says you're only his friend?

I mean, every time we see each other during the week, he ignores me. And, then when we're together at like, church or something he ends up grabbing my hand. And, since, I like him, I let him do it. I love holding hands with him, he's just so sweet and stuff. But, he's taken. And, then he says he only likes me as a friend, after we've held hands! This has happened twice already.Why is he doing it?