Jesus said to serve, not enable bad behavior. In fact, it is unloving to do so because if this cellgroup member continues to do so, people will get fed up with him and reject him, so he will bounce to another group, take advantage of someone's compassion, and it will be a vicious cycle for him.
Maybe you can share the following verse:
"Let no debt remain outstanding, except the continuing debt to love one another, for he who loves his fellowman has fulfilled the law." - Romans 13:8
It's alright to rebuke him for this sort of behavior, and it's alright to not have treats or excess money with you for him to "borrow." He needs to learn to serve himself, rather than be served by everybody. I'm not saying be tight-fisted. I'm not saying be hostile. Be polite but firm with him, telling him that you can't do this all the time. There is a book called "Boundaries" by Henry Cloud and John Townsend that explores this kind of thing in depth. Pretty much how to say "enough is enough" and still be a loving Christian. See if you can get your hands on that and give it a read.