I would say he probably doesn't realize that you have rejected him. He may not take the time to look at who he's already requested so as not to send repeat requests. Can you send him a PM that tells him that you have a personal rule about friending people at work? Is that even considered ok?
Something similar happened to me, but from the opposite. I was actually friends with a girl I knew from my first duty station. We weren't best friends, but I do recall that she sent the original request to me. Then one day, I noticed her on my suggested friends list and confused, sent her a friends request with the note "I thought you were already on my list." She did not respond, nor did she accept my request. I forgot all about it and then noticed her on my suggested friends list again a few months later and sent her a PM that just said "how's it going?" She never responded to that and now she appears to not be on FB at all, which makes me think that she both defriended and blocked me. I'm not sure why exactly, especially since I had not spoken to her since my last day on station. I was not intending to be rude by sending a second request to her, I just honestly didn't know what happened and I would have been ok if she had written me and said that she was tailoring her list down to people that she is actively in a relationship with. But also know she wasn't required to.
I would give this guy the benefit of the doubt that he's not trying to harass you. maybe a short note back to him will give him the clue, but if not, then block.