I am a mother to an 11 yr. old son, who was diagnosed with depression and ADHD years ago, and recently anxiety attacks also. I, too, have clinical depression and can relate to how that feels first as a parent, but also as a child myself.
First, i wanna say, that you and your family are in my thoughts and prayers. No parent wants to ever see their child in pain, whether physical or emotional.
The first thing i would say is, please, PLEASE, take this child seriously. If there's anything I could say it would be that. As young or naive as you or your husband may think he is, i've learned and experienced that the pain is very real still. There's a good chance that he doesn't even know how or why he feels this way, so it just comes out when he says he doesn't want to live. I tried to commit suicide as a teenager 3 different times. Looking back, i think if my parents had of gotten me the help i so desperately needed, that i might not of been there. I am not at all belittling you or your parenting. I know you have tried to get him some help. I would just say - don't give up.
The counselor we finally found for my son started out by playing board games with him - having fun while getting to know him, so he started looking forward to going. He thought she was really cool. There are good ones out there, unfortunately sometimes you have to keep looking. And please, don't ever think you are a bad parent. That really makes me mad that counselor had the nerve to say that to you. Honestly, who couldn't use parenting classes, ya know? Hindsight's always 20/20.
One good book that helped me learn about what my son needs from me is "The Five Love Languages of Children". It helped me to see how my son communicates his love and what he needs to feel loved and wanted. His "language" was quality time and positive affirmation. It didn't matter what we got him, it was that one on one time that he craved. When we started to do that, he slowly started opening up more about things, and we tried to identify them together, and come up with the best solution possible.
There are many times I honestly don't know what to say, and I have to tell him, "We will have to ask the counselor about that, because Mommy just doesn't know", and he is cool with that.
Sometimes, i think our son does "milk it" though. His feelings are real, but if he's getting attention from it, even negative attention, that made him think that's what he had to do to get it. And i honestly believe some children need more attention than others. My oldest definitely does. It can be exhausting. I am just hoping through my actions and in helping him help himself, he will learn how to live a healthy and happy life while dealing with depression. Because I wasn't. And i learned such a hard, hard way.
My best wishes to you as you deal with this. Don't give up. You're very brave for asking about this. So many don't, and those many times are the kids that fall through the cracks.