Why did Marlow lie about Kurtz's last words?

In Heart of Darkness, Marlow lies to Kurtz's fiancée about his last words to protect her illusion that Kurtz was a great and noble man doing good deeds in Africa.

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When Marlow goes to see Kurtz's fiancée in London at the end of the novel, he realizes that this well-to-do and idealistic woman harbors a romantic and highly deluded conception of who Kurtz was. She is carried away by her illusion of Kurtz as a noble man, saying,

of all his promise, and of all his greatness, of his generous mind, of his noble heart, nothing remains—nothing but a memory.

This corresponds with Marlow's earlier experience of his aunt idealizing his own mission to Africa:

It’s queer how out of touch with truth women are. They live in a world of their own, and there has never been anything like it, and never can be.

Marlow lies to the unnamed fiancée about Kurtz's character and about his last words. He tells her that Kurtz's last words were to utter her name, which meets all the expectations of her romantic fantasy. In fact, Kurtz's last words were, "The horror! The horror!" Marlow justifies himself by stating,

They—the women, I mean—are out of it—should be out of it. We must help them to stay in that beautiful world of their own, lest ours gets worse.

Marlow says he lied to the fiancée because European society would be coarsened, or made "worse," if the women knew the truth. He sounds as if he is buying into the propaganda he earlier condemned as giving his aunt an overly idealistic view of his African job. Through the women at home, it is implied, Europe can project an image of purity in their imperialist actions.

Through the incident with Kurtz's fiancée, Marlow mirrors the broader deception present in the European imperialist mindset: Europe is fed the idea that its imperialist motivations are altruistic, when in reality, its methods are horrible and cruel and its mission self-serving.

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