I think their environment and the era they lived in caused them to lie. It was easier to buy into the lies (even though they were aware of them) rather than accept how they would be forced to live their lives otherwise.
The lies helped keep them together.
A lie is a lie, and I despise lies, but I can easily understand why they did it. And unfortunately things haven't changed all that much over time. Many gay people in the U.S. (and certain other countries too) still experience the same unfortunate conditions Ennis and Jack did.