It is not exactly a hard and fast rule, its more like a behavioral pattern where you don't thank the people you are really close to for little things. If you say it, you generally say it like you mean it and not for everyday things.
Maybe because he did not explain it simply and purely. You do not "thank" people who are close to you; helping and favors should simply be a common practice.
"Thank you" is said to people who you cannot return the favor to, or do not expect them from them any sort of kindness.