Marlow's conception of the meaning of life is that it lies in maintaining illusions, even against logic and reality. When he goes to the Congo, Marlow wants fervently to believe in Kurtz, the godlike figure whom everyone talks about and whom Europeans and locals alike regard as a deity (quite literally in the case of the local people). Marlow later discovers that Kurtz has cultivated a kind of cult-like status around himself and that he has had a relationship with a local woman. While Marlow wants to believe in Kurtz's greatness, Kurtz himself seems disillusioned, saying, "The horror! The horror!" before he dies.
Kurtz himself no longer believes in his own myth or the myth of the benign European in the Congo, as he knows that Europeans are perpetuating evil. However, Marlow's respect for, and awe of, Kurtz never dies. Even when Kurtz's fiancé asks Marlow about Kurtz's final words, Marlow can not bear to disappoint or disillusion her. Instead, he says the following:
"Yes, I know," I said with something like despair in my heart, but bowing my head before the faith that was in her, before that great and saving illusion that shone with an unearthly glow in the darkness, in the triumphant darkness from which I could not have defended her—from which I could not even defend myself.
Marlow knows that Kurtz's fiancé is laboring under an illusion about Kurtz's greatness, and even though he knows better, Marlow also labors under this illusion. Marlow won't disabuse himself of the notion that Kurtz represents something good and momentous.