There are three reasons why Marlow lied.
1. Too profound to explain
Marlow keenly felt that his profound experience - of the Belgian Congo in general, and of Kurtz in particular - was beyond explanation to ordinary European citizens. He says that after his return to "the sepulchral city" (Brussels), he found himself
"resenting the sight of people hurrying through the streets to filch a
little money from each other, to devour their infamous cookery, to
gulp their unwholesome beer, to dream their insignificant and silly
dreams. They trespassed upon my thoughts. They were intruders whose
knowledge of life was to me an irritating presence ... [their bearing]
was offensive to me like the outrageous flauntings of folly in the
face of a danger it is unable to comprehend." [Penguin edition (2007),
To put it simply, Marlow had experienced something so profound that even he was struggling to understand it. How could he then bring these petty, mundane city folk into his extraordinary world?
Ironically, almost the whole novel consists of Marlow telling his untellable tale to his close friends on the yacht anchored in the Thames. Why can he share his tale with them but not with others? On the very first page, the narrator makes it clear that Marlow and his mates share a special bond - "the bond of the sea" - which "had the effect of making us tolerant of each other's yarns--and even convictions."
2. Honouring the man
Marlow venerates Kurtz. He says he himself survived in order "to show my loyalty to Kurtz once more".
"I was within a hair's-breadth of the last opportunity for
pronouncement, and I found with humiliation that probably I would have
nothing to say. This is the reason why I affirm that Kurtz was a
remarkable man. He had something to say. He said it. [...] He had
summed up---he had judged. 'The horror!' [...] Better his cry---much
better. It was an affirmation, a moral victory paid for by innumerable
defeats, by abominable terrors, by abominable satisfactions. But it
was a victory! That is why I have remained loyal to the last, and even
beyond." [pp. 87-88]
Conrad is at pains to emphasise that Kurtz's last words - "The horror! The horror!" - are utterly defining, both of the man and of the "heart of darkness" (in all its interpretations). Marlow's "impulse of unconscious loyalty" is to the truth not only of Kurtz's greatness, but also of Kurtz's darkness, "the colossal scale of his vile desires". For reasons already covered above, Marlow feels it impossible to describe the true Kurtz to ordinary folk, and is therefore compelled to conceal Kurtz's "heart of darkness" as a way of honouring his memory.
3. Protecting the innocent
Despite the above, in the end Marlow says of Kurtz "there remained only his memory and his Intended---and I wanted to give that up too to the past." It's as if the burden Marlow carries is too great, and he is ready to pass this burden on.
But when Marlow arrives at the house of the Intended, Conrad delivers the ultimate crescendo of melodramatic gothic horror. Marlow experiences a powerful vision of Kurtz on his stretcher,
"opening his mouth voraciously, as if to devour all the earth with all
its mankind. He lived then before me; he lived as much as he had ever
lived---a shadow insatiable of splendid appearances, of frightful
realities [...] The vision seemed to enter the house with me [...] It
was a moment of triumph for the wilderness, an invading and vengeful
rush which, it seemed to me, I would have to keep back along for the
salvation of another soul."
Here is the first intimation that Marlow will save the Intended from the full truth, and especially from knowing about "the summing-up whisper of his eternal condemnation." Indeed, when she mentions Kurtz's loneliness at the moment of his death, Marlow reassures her that he was there with Kurtz:
"'I heard his very last words....' I stopped in a fright." [my
The fright is because he is now confronted with the reality: Kurtz's last, defining words are a tormenting yet unutterable legacy.
"I was on the point of crying out at her, 'Don't you hear them?' The dusk was repeating them in a persistent whisper all around us, in a whisper that seemed to swell menacingly like the first whisper of a rising wind. 'The horror! the horror!'"
Marlow lies, to the "inconceivable triumph and [...] unspeakable pain" of the Intended. He now feels as if the house will collapse before he can escape from the weeping woman, "that the heavens would fall upon my head." He wonders whether he should have "rendered Kurtz that justice which was his due" by revealing his true final words in all their appalling greatness. As Marlow explains, in his final words of the novel (last words being a bit of a theme for Conrad):
"But I couldn't. I could not tell her. It would have been too
dark--too dark altogether...."