When my father died several years ago in WI, a LDS friend of several decades explained kindly to us that he could not attend the funeral in our (Protestant) church as LDS members were prohibited from attending services in other churches. Is this church policy? Or maybe a local custom or personal preference.
I am sorry to hear about your father. In answer to your question, there is nothing within our Church policies, guidelines, or doctrines which prohibit members to attend close friends funeral services.
Although, this is not Church policy, your friend may think attending a funeral service for another church is forsaking his personal belief, or denying his faith. In time, hopefully, this young man will understand we even support and attend funerals of families and friends we love and who are in a time of turmoil. I, myself, have attended friends funerals who were not LDS.
I would hope, you are not offended, for this man is seeking to live the gospel to the best of his knowledge, even if his knowledge regarding Church policy is incorrect.