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.
This is the subject of much in way of debate and discussion. You will find many different interpretations of Kurtz's dying words. Some believe that that last words indicate his own reflection of the life he has led. "The horror" could indicate a summation of what colonization was on the lives of the indigenous people, and might be a discussion point of how colonization might have started off with noble intentions, but was highly corrupt in its practice. Another read could be that Kurtz's own descent into madness revealed much in way of "the horror." The words help to identify what lies at the center of a corroded soul. In a larger sense, perhaps the meaning of the words is not a precise read, as much as an overall state of being in the world when one has lost a sense of clarity and vision to guide. Perhaps, "the horror" is the realization that there is no such vision at all. The only absolute in this setting is human freedom, which could very well be "the horror."