He says he wants to be felt alone. Should I listen to him or try to contact him?

EDIT: Title should say "left" instead of "felt".

One of my good friends is depressed, has been diagnosed for a while. I've let him know I'm always there for him, and he's seeing a doctor for it. But lately, he's been very isolated and avoiding his friends. He's told me personally that I need to leave him alone and let him work it out on his own. We haven't spoken in 2 days and I'm worried, because I want to make sure he's okay but he told me to leave him alone. What do I do?