Well, perhaps he is someone who has disappeared in a strange way. In ghost stories, things often vanish without a trace. So if he's a ghost story, he might have left in a really mysterious manner, leaving people with only stories and questions about where he went.
When someone says 'so he's a ghost story', it might imply that he is part of a tale that has been passed around, and this tale is full of the supernatural. It could be that he has been involved in events that seem otherworldly. For example, he might have been in a place where strange noises were heard, or things moved on their own, and now people talk about him as if he's part of a spooky legend.