''Please post a source where is written that is a offensive phrase"
He explained it, a simple google: https://forum.wordreference.com/threads/indio-has-a-derogatory-meaning-in-mexico-california.120414/
"Indio" means Indian, as in Native American. The more politically correct word in Spanish is indígena, but indio is also used, just like Indian in English.
For many Mexicans, "indio" is a racist/classist insult. Indigenous peoples in Mexico are generally at the bottom of the economic and social ladder, and native people generally have darker skin than people with European and mixed ancestry. So for many people, to call someone "indio" is to say that they are dirty, uneducated, poor, dark-skinned... in short, undesirable.
So yes, it can be derogatory. Depending on context, it could even carry the same weight as the "N" word in English , IMO.
Imo its like ''yellow squinter''
You can't show me a source where is written that is a offensive phrase , yet we all know
Also since he is in your guild, ask him then what he means by it. Looking forward to his explanation.