Toddlers are often incredibly attached to a baby blanket, so weaning him from it needs to be a very gradual process. Start by telling him that he can bring it to a play date, but it has to stay near the front door. Then tell him that he can bring it to a play date, but it has to stay in the car. Then tell him it will be waiting for him at home while he’s out having fun at his play date — and so on. If he asks why he can’t always have it with him, blame it on being a "big boy."
Also try offering him a pocket-size replacement comfort object, such as a "magic" sock (which you can rub against your skin so it smells like mama). Many stores also sell mini versions of blankets, so he can have the same object — just smaller!