I referred him to The World Atlas of Language Structures, which is now available on-line.
Go to the WALS website, search under “features” and look for chapter 19: Presence of Uncommon Consonants. This chapter covers clicks, labial-velars, pharyngeals, and ‘th’ sounds. (It does not distinguish between voiceless θ and voiced ð.) The database covers 2650 different languages.
Dental or alveolar non-sibilant fricatives are just as rare as labial-velar plosives, occurring in just 43 (or 7.6%) of the languages surveyed, but the distribution of these languages is practically worldwide. They are found in languages as varied in location and family affiliation as Modern Greek, Albanian, Spanish and English (Indo-European), Kabardian (Northwest Caucasian), Mari and Nganasan (Uralic), Burmese and Sgaw Karen (Sino-Tibetan), Lakkia and Yay (Tai-Kadai), Swahili and Moro (Niger-Congo), Dahalo (Afro-Asiatic), Berta and Murle (Nilo-Saharan), Fijian, Yapese and Drehu (Austronesian), Ngiyambaa (Pama-Nyungan), Rotokas (West Bougainville), Aleut (Eskimo-Aleut), Chipewyan (Athapaskan), Acoma (Keresan), Maricopa (Yuman), Cubeo (Tucanoan), Huastec (Mayan), Mixtec languages and Mezquital Otomí (Oto-Manguean), Amahuaca (Panoan), Tacana (Tacanan), Cochabamba Quechua and Mapudungun (Araucanian).
We might also mention Welsh and Icelandic (both I-E, and not included in the database).
Here is part of the map that comes up. The presence of a th sound or sounds is marked by a red circle.
This means that yes, for most learners of EFL the English dental fricatives are difficult, exotic sounds. It’s not surprising that they are sounds that advocates of teaching English as a Lingua Franca want to not bother with (but that, conversely, anyone who aspires to a higher standard than ELF cannot afford not to master).