I have a friend male who made a comment to me"don't insult my intelligence. What could he mean by that?
In my opinion, what your friend means by the statement is that you should stop treating him like he is stupid or a fool. Your friend may have felt like you are patronizing him; hence, the comment that he made.
What you said to him, was stupid.
It means that the reality of whatever situation you're talking about is obvious to him, and when you lie about it, he knows you're lying. Therefore, you are "insulting his intelligence".