Only part I don't understand

Towards the end of the movie, just after Dicaprio's character is dropped off bye warden, he asks Ben Kingsley's character, "what happened to my partner" and Kingsley's character says, "you didn't have a partner, you came here alone". Now, I know Sheehans character is real, so why does he (Kingsley) act like he (Dr. Sheehan) doesn't exist?