Christmas gift.

Recently, I made some new friends. We haven't met yet, just online conversations about things we like in common. One of them came to know that I don't like spending money on games since I can't afford to, but I love to play games. And he offered me a game on Steam as a Christmas present. I denied, saying that I wouldn't feel taking it that way. I am not a beggar. 

But he kept insisting, saying that it didn't cost him much, he got it on discount. 

But he still paid for it, and I have nothing to offer in return. 

I don't know how to respond or what to do

Show gratitude if you accept, he knows you have nothing else to give him.

You don't have to repay people in the same terms, maybe your friendship is what he needs/wants.

You don't even have to repay people if they don't want you to, but it's normal to feel uncomfortable when you can't return the favor by pleasing them back with something they like, I feel ya.
Try not to worry though, just have fun with it!

Thank you both.
I gave him two ebooks related to our common hobby.