I presume this scene is based on a famous urban legend from WWII, known as the "Coventry dilemma".
The story goes that, in November 1940, Bletchley Park decoded an Enigma-encrypted transmission revealing that a bombing raid on Coventry was planned for the 14th. The dilemma was thus: did the British prevent the raid, and risk revealing to the Germans that they'd cracked the Enigma code, or do nothing and keep the decryption a secret at the cost of hundreds of lives?
Winston Churchill supposedly chose the latter, and let the raid happen. 568 people were killed, and central Coventry was almost totally destroyed, but the Germans were left unaware that the Enigma had been deciphered and Bletchley Park was able to go on intercepting German communications.
This is why Turing is reluctant to act on the information they've learned from having cracked the Enigma code: if they do, the Germans will realise the Enigma has been cracked, and change their encryption method. By doing nothing, and pretending they haven't cracked the code, they are effectively lying to the Germans about how much intelligence they have.
[For the record, there is no evidence that the British actually knew of the Coventry raid in advance. It's merely an urban legend. See Wikipedia's section on the myth for more detail.]