Because he didn't want to tell him the bad news that his wife Reizel and their two young boys were dead. And because if he did tell him the news would dishearten Stein and he would lose the will to live and would die which is what happened when someone else told him the news.
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Wiesel lies to Mr. Stein by claiming that his family is alive and healthy, when in fact they had been killed in the concentration camps. He does this to spare Mr. Stein from the devastating truth and to offer him a sense of hope and comfort during a time of immense suffering and despair.