This could be a possible answer (not excluded), but the most expected answer in this very case would be "Ему их не за что благодарить."
"За что ему кого-либо благодарить?" - this variant might be possible;hm, now i think the following sounds better "За что ему кого-то благодарить?" (this i think is closest to real life, it's like 'Why should he be thankful to anybody?'