I am in love with a Jewish man whose surname is Cohen. He says we have no long term future together even if I convert to Judaism. What does he mean?

He means that under Jewish law he is forbidden from marrying you because as a descendant of the priestly tribe 'Cohen', he cannot marry a convert to Judaism. If he is religiously observant this is what he means by saying you have no future together. If he is not religiously observant, he could well be open to considering other options, such as marriage in a civil ceremony overseas, or living together, without being married at all.