That would mean he respects you....your intelligence, your morals, your sense of fairness, etc.
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When someone thinks highly of you, they respect you. They think good things of you and admire your words and actions. They hold you in high regard. It's a compliment.
If a guy says he thinks highly of you, it likely means that he has a positive opinion of you and respects you. He may admire your qualities, values, or behavior.