First, don't reinforce his crying and anxiety by making a fuss of him. Ignore him until he is quiet, then reward the calmness. Get him used to a routine associated with you going out.
I would suggest the following plan of training. Have a high value treat for him to anticipate. Put it in his crate and close the door, denying him access to the treat. Then allow him in, close the door while he eats the treat (stay right beside the crate while he does this, let him out before he starts fussing) Build on this by going a few steps away while he eats the treat, until you can make it to the exit door. Gradually work up to going out and coming right back in. As he (hopefully) gets more accepting, you can work on making your absences longer. I realize this takes time, but with luck it will desensitize him to your going out. Very important, do not make a big deal out of either leaving or returning…..stay very low key.