How can I tell my advisor that I'm not going to work for free? I am an undergraduate student of Physics in Spain. This year I have to prepare my bachelor thesis and I also applied for a fellowship with the same advisor to do further research on the same topic.

I wasn't awarded the fellowship and I told my advisor about it but he wrote me an email a few days back telling me to try to finish the thesis early to be able to start with the collaboration. 

Given that I wasn't awarded the fellowship I just want to finish my thesis and I don't want to do further work (which was discussed under the hypothesis of me getting the fellowship) for free. I thought that this was clear to my advisor when I told him that I didn't get the fellowship but it seems that it is not the case

I don't want to sound rude when telling him this because I still have to finish my thesis with him and I wouldn't like any kind of problem between us. How could I tell him that I'm not willing to work for free?
I would suggest that you repeat that you did not win the fellowship and ask if he has other funding available, "because I am still very interested in the work, but will need to find paid work instead if I can't get a stipend for this collaboration."