TLDR; Let him learn a hard lesson.
Sometimes children see something they want, and saying no to them just will make them want it even more. In these cases, and when the stakes aren't too high, let him learn his lesson.
What you'll serve by letting him get a slight burn is threefold.
- "Ow that's hot, I shouldn't do that again!"
- "If I'm near this, I should be careful with it so the pain doesn't happen."
- "Mom/Dad was right when they told me not to do this, and I should trust their judgement a bit more."
Granted, you'll need to deal with the burn for a while, but this will help reinforce the point that fire isn't something silly to play around with. Also, only let him near it under supervision (Read: don't burn the house down), and make sure he won't get hurt too badly from it. You're looking to let him learn his own lesson, rather than traumatize him.
This also may be a good opportunity (depending on his age), to teach him about fire safety. There are plenty of ways to show him not only the bad side, but the good side to fire as well!