I hope you are being facetious.
There are different types of proteins (whey, casein, soy, etc.) as well different processing methods (micronized, hydrolyzed, etc.). How and where a manufacture gets their base proteins affect the end cost, as well as how they cut said protein (fluff it down with fillers that will test as protein content but are not actually protein; many have been caught doing this; known as amino spiking).
He is only partially correct. There are a number of factors that dictate why one retailer will sell a product cheaper than another. In the case of Walmart it is because they sell cheap knockoff powders (where such spiking is more prevelent) made in foreign countries with poor quality control and poor ingredient quality/sources. Whereas GNC sells a variety of low tier to high tier brands where quality is higher from better labs/plants that source higher grade base ingredients (now this is not true of all their supplement's and stocked brands). Other factors that dictate cost are how much a store purchases, over what period of time, for what contracted deal, etc.
Protein is not just protein.