One of the beautiful elements of Kurtz's final words are the multiple levels on which they work. Not only is Kurtz reflecting on his own life and experiences, but he is also commenting on misguided colonization of Africa at this time, and upon the essential nature of the soul of the human race. In their own ways, each is a heart of darkness.
Certainly Kurtz has lost his bearings as his way as an individual. Even the madness or insanity that some reader's see in him is merely a manifestation of his own downfall. He, himself, is a "horror."
Likewise, the misguided attempt to colonize and exploit Africa is also a "horror." Kurtz, perhaps unlike most of the other characters of the novel, sees just foolish and precarious such a proposition truly is. Africa has no use for and no reason to tolerate the invasion of the Europeans.
But, central to the entire work, is Conrad's comment on the essential nature of the human spirit--the idea that we all are corrupt and evil at the core and that we merely need the right conditions and triggers to bring those elements to the surface. The heart of darkness is both a physical place on the African continent and a spiritual place at the core of the human soul.