There are so many interpretations of this quotation! Here are a few that I find most plausible.
By the end of his long stay at the inner station, Kurtz has realized that his treatment of the natives, his rebel attitude and actions toward the company and his own self-destruction are truly horrible and antithetical to the person he was before he entered the "heart of darkness." Therefore, his outburst reveals this awarenes of what he has become.
Another interpretation is just about the opposite. Being forced to leave his sanctuary, where he is treated like a god, and to return to a life that he no longer respects is overwhelming to Kurtz. His final words are a reaction to this reality that he in no way wants.
Finally, many interpret Kurtz words as a reaction to a vision he has while he is near death. He has perhaps caught a glimpse of hell and is realizing for the first time where he will spend eternity.
Of course other interpretations exist. The best may be a combination of several ideas!
These words are potently enigmatic. I like the ideas offered above and I'd offer another interpretation. The horror that Kurtz sees in his vision/realization is one of his failure (to truly move beyond humanity, to become more than human; a god or something not far short of that) and the horror is also a realization of the chaos that exists in "the beyond", a space where gods might dwell and live but which men cannot enter.
Kurtz' goal was one of supremecy, extreme supremecy. He fails to become something more than he was at the beginning. He is bound to human morality and, like the first interpretation offered above, he finds in the end that he must judge himself according to the laws of society as he has failed to forge his own set of laws in the jungle.