You have to feel for the characters. It's a super painful feeling to like someone, and know that they like you too, but one of you is either involved with someone, likes someone more, or is committed to a goal or something else. Yu Hao in particular is in a rough spot in this case.
I remember when I was young there were two girls who liked me. This was some years ago now, but I liked both of them as well. However, life isn't a manga. We all know that. Eventually the time came where I had to choose who I wanted to date. Needless to say, it was a heartbreaking scenario. When you like someone, even if there is someone else you like more it doesn't change those feelings, ya know? So having to hurt someone sucks. Things worked out in the end of course, but I still remember how hard it was and how I felt like I did something wrong to the other girl. In this case, I don't think Yu Hao actually does have anyone he "loves" like he claims. I think he's just saying it to make Ju Zi have an easier time with handling things since he can't give her what she wants. It's pretty good character development.