What is Gene saying when he admits that there was always "something deadly" in the things he wanted or loved, and that if it wasn't there, he put it there himself, as he had done with Finny?

Gene is acknowledging a certain self-destruction inherent in his personality. Gene's complex relationship with Finny was in part an act of self- identity. Gene is constantly re-evaluating himself and always in the context of Finny. That's pretty unhealthy.