That scene still gives me huge feels! I think that was part of his deepest regret while he was in the opium den - that he didn't say it back to her before she fell into the coma. She used her last coherent, conscious breath to tell him that she loves him ... and that is eating away at him because we now know that their love was not only mutual, but of a deep and personal nature. It was not only romantic, but enough that Red pretty much checked out from being himself and left everything to Dembe in his absence.
The scenes of him with Katarina, showing that he never loved her romantically were very revealing. He didn't want her to commit suicide, but after she did he would make sure that her daughter was taken care of. He never realized that when Masha grew up, he would fall in love with her as a woman and she would become his "life" and "heart."
James Spader was amazing in that ep!