This is one of those situations where a mutual 'thanking' is appropriate. In some cases, as when person A does person B a favour, it's fine to say respond to 'Thank you' with just 'You're welcome'. In this situation, however, there should be some expression of gratitude on both sides. Your boss's words of thanks are a polite way of bringing your internship to a close, so you need to respond in a similar way. We often reply by changing the stress of the words and saying "Thank YOU. You've been very kind to me. "You could say something like 'It was a pleasure to work here, and I've really learned a lot. Thank you for making me feel so at home."

I think "my pleasure" sounds the most formal and best in this situation although "you're welcome" is also suitable ^^