I assume you are talking about the place in Act IV where he is talking to his wife about whether he should lie in order to save himself from being executed.
At that point, he says it would be "a fraud" if he "mounted the gibbet like a saint." What he is saying is that he does not consider himself to be a really good man. He contrasts himself with Giles Corey and Rebecca Nurse. He thinks they really are saints.
He doesn't think he himself is a saint because he knows that he is sinful and weak. He still feels guilty for having the affair with Abigail and he knows that he doesn't really want to die.
So he is saying this because he doesn't think he's morally good enough to be a martyr like Corey and Nurse are.