I think we ALL KNOW what Finn wanted to say........but came to terms with her not feeling the same.
This may have already been answered in the dozens of pages of this thread, but I read that in a Q&A after a screening, the filmmakers confirmed that what Finn wanted to tell Rey was that he believed he had force sensitivity. This actually tracks with what I was thinking during the movie - I figured it was about having the force rather than romantic feelings.