Tell him the truth. You'll never move forward if you don't. You need him to help you find out why it was so hard and what you can do to improve.
PS: I could never stop masturbating for much more than a week - often not more than one or two days - before my testosterone was suppressed. And masturbating made me feel so very awful, every time. In the last year, I've only masturbated twice, I think, and both times were to test if I would like it now that I was rid of testosterone. (Answer: no.)
So don't feel like a pervert. And if you still have testosterone running through your body, take into account the very strong, uncontrollable need that testosterone creates, artificially. There doesn't have to be a link with wanting wo be a woman. Make sure your therapist understands that, and he won't be able to say you're just not trying hard enough or something.
By the way, when arousal comes, distracting yourself might work. Reading an interesting book, doing exercise, etc. Not a guarantee, of course, because testosterone is evil and hard-working, but it's saved me a few times in the past.