Of course, we cannot know this for sure because Columbus did not say anything about this. It's not like he said in his diary, "I know this isn't Asia, but I'm going to keep saying it is because..."
What I think is that Columbus did not want to admit he was wrong -- this is a very human failing, right? He had been talking about how he was going to go and find Asia and he had managed to get royal backing to go find Asia. It would be really hard for someone with a big ego to just admit that they had been completely wrong.
I also think that it's partly because the Caribbean Islands hadn't produced much wealth. So he wanted people to keep thinking that they were just off the coast of Asia and would soon find the Spice Islands and other rich places like that.