Latios can only learn Defog if you transferred it from Gen 4. Latios learns Defog as an HM is Gen 4. Therefore, the only way to get it is to transfer one from that time.
Hope I helped! :)
The only way to get Defog on Latios is to Transfer a Latios from Diamond, Pearl, or Platinum after teaching it Defog.
Source: http://pokemondb.net/pokedex/latios
