Sam tells them he can't feel anything and it's not really a lie. Not that he'd care if it was, he's told enough of them recently. But when he says there really isn't any of his soul left, that there's nothing left of it for him to feel anything with he's telling the truth.
Sam's soul is gone; completely, not a fragment left. The space where it should be isn't entirely empty though.
Deep inside him, in the hollow place he's pretty sure he shouldn't be able to feel, is a tiny spark of grace. The only part of Gabriel that the archangel left behind when he died. The only thing no-one could pull out of Sam because it can only be removed by the one who put it in there and he's gone. It used to be wrapped around Sam's soul so tight Sam didn't even notice, now it's the only bit of him that isn't numb.
It doesn't help though.
It just hurts.