Being around sick people is a part of life. If it isn't a co-worker, it's a client, customer, the person next you on the bus, the train, the line-up at the sandwich counter, etc., and the best thing you can do to protect yourself is get enough sleep, eat healthy, wash your hands, and don't touch your face. Also, most of us don't have the luxury of staying home for every little sniffle (yeah, if you're suffering a fever and hacking up a lung, sure). This co-worker sounds incredibly annoying. "No, I said I was fine. Can we drop it please?" would not be out of line IMO.