Telling him that you're not comfortable w/ that is the best place to start.
That said, I'd tell my sister in a heartbeat. Not in a "can you believe he said X" more like "Sis, I wanted to give you a head's up. Bob contacted me last night and, during normal chit-chat, he started describing to me issues between the 2 of you. I asked him not to involve me and he dialed back, but i wanted you to know that it happened"
Because this behavior can be a way of isolating people and jeopardizing her relationships.
I think this is an excellent point.
And this may be off-the-wall, but part of my nasty, suspicious little brain was wondering, "So, if the OP had been sympathetic, how soon would he have been asking her for a side game of scrabble?" Because, seriously, the "my wife doesn't understand me, you're so easy/awesome to talk to" has to be one of the oldest lines in the book...
I'm not saying that's what would have happened, only that it's one possibility that occurs to me. But I think, "I am not comfortable with this. Stop now" is a perfectly reasonable and polite response. And I would tell the sister, as uncomfortable a conversation as that would be. But if it were my sister, I'd also want her to know that I'm there if she needs me.