At this age, they really are just sorting it out as far as what they know and how they differentiate the gender. Make sure he has lots of opportunities to dress up in both genders' clothing, and check himself out in the mirror - this will help him to understand that his gender doesn't change, even though his clothes do.
See if you can figure out what it is about being a girl that he wants - what does he see other little girls doing? It could be as simple as wanting to be a girl because he wants a doll/teaset/miniature clothes line/pink t-shirt.

FWIW, when my little bro was three, I told him that my sister and I used to have a penis, but that we had them cut off on our fourth birthday and it really hurt. He wanted mum to cancel his birthday party on the spot, and was a bit scared. (naughtiest big sister ever!)

There may be more to it; it really is very early to be saying anything like that. Don't tell himt hat he can't be a girl, but do tell him that it's a decision he can make when he's much older if he would like to - like changing your name at 16.

I don't thik it's worth worrying too much about at this stage; ride it out for a while and see how much longer it goes on for.