Hello, JRU-- and welcome to English Forums.
Well, I cannot really judge what your friend intends--
that made me angry, but I won't let it really upset me and cause me to do something I'll regret? That would be a reasonably accurate use of the phrase.
To no avail means
with no advantage or
to no purpose, uselessly, without effect, etc. If that is not what he means, then he is misusing the phrase.