I understand your frustration. I have a 12 year old and 6 years old and my oldest tried that for a similar situation at 5. If you can do this tactic I am willing to bet dollars to doughnuts that he will never do it again.
Tell him that mommy and daddy love you very much and we are here to protect you from things and take care of you but since you are all grown up and dont need us anymore we hate to see you go. You need a poker face and not sad but melancholy look for this whole charade! Pick up the phone and call Santa and tell him that he no longer lives there so he need not bring any toys. Have a phony conversation like.."..I know he cant get gifts anywhere else but here but its his decision." Then call the clothes store and tell them you no longer will be buying clothes from them because your young man is leaving. Call the grandparents and tell them they no longer have a grandson he left. Be sure he cant live there either...he can only visit if he still lives at home. Now call the adoption agency and tell them you need a little boy whos not all grown up to come and be their son. A child who will appreciate the love mommy and daddy give and understand that he cant have everything he wants all the time but he will always have everthing he needs like a good home, food, nice clothes and parents that just love him to no end. Act like they are sending someone... but keep a straight face. Get excited call Santa back and tell him they are sending you a new little boy. Your son is going to freak out I promise. If that doesnt work then try this one. Tell him he can go but he has to go NAKED because you own everything and since he no longer lives there. I told my daughter she could have a Farmer Jack bag to cover herself and a picture of mommy and daddy so that everytime she got cold or hungry she could remeber how much we loved her. I told her no shoes, no socks, no clothes, no food, no toys, no NOTHING! But she was free to go. Needless to stay she is still here. LOL!!! You just beat those little munchkins at their own game. Manipulation. If he cries trust me he wont dehydrate! You want to push it to the point where he is begging you to stay whatever that point is push it. You dont want him trying to leave when you are not looking.
I know it sounds mean but it not. You have to make him understand that the world is cruel and he needs protecting. GOOD LUCK!!