In episode 4 of season 1 we see Locke taking its first look at "the monster" (~30:00), while hunting boars on his own. He seems to be looking straight at something, not just randomly towards the direction of the noises. But then (~38:53), when asked by Walt's father, he says he didn't see it.
Why does he lie?
Keeping in mind what we now know (that the monster is The Man In Black), we can only speculate at what John actually saw. Each person who saw the smoke monster presumably saw more than just a large cloud of smoke - they saw some kind of vision in the monster (if memory serves, this is what happened with Mr. Eko for example). What John saw probably affected him in a way that he wanted to keep whatever vision he saw to himself.
In the episode where Eko dies, "The Cost of Living" in Season 3, Locke finds out that Eko has seen the Monster. Locke tells him that he's seen it too: "It was a very bright light. It was beautiful." And similarly he tells check in the Season 1 episode "White Rabbit", "I've looked into the eye of this island and what I saw was beautiful."
So that suggests that Locke was blinded by the Monster's flash of light, which it produces when it encounters someone for the first time, in order to "scan" them to determine their character and memories. (Jacob and the Man in Black have a long-running contest to see whether humans are always corruptible because it is in their very nature to sin, or whether it doesn't have to "always end the same way. So when new people come to the island, the monster judges them; if they're beyond redemption he kills them, otherwise he tries to manipulate and corrupt them to prove that he's right. But Jack ultimately proves that Jacob is right about the fundamental goodness of Man, by being willing to sacrifice himself for the sake of the Island.)
I think that Locke lied about seeing the smoke monster because he believes he has a special relationship with the Island. Everyone else is not "worthy" enough to know/understand so he keeps it to himself.
John Locke isn't afraid of lying, he's a man of faith nonetheless. Before the island, he had no one who cared about him, and even lost his ability to walk. He was lonely and on top of it all he had no freedom. But whe he woke up on the island, he was able to walk, start anew, and be the leader and hero he's always wanted to be. Now as said before Jacob and the Man in Black have a bet. And when the smoke monster judged Locke he must've been good or pure. John believes the island has a purpose for him and is showing him the way and that there are no coincidences. This is also one of the reasons why he is so willing to "let go" or die so early on. Some see him as a psycho. I can't even figure him out, but I think he saw the bigger picture when he first landed on the island. And his knowledge only increases by meeting the monster. Then after he's dead, the smoke monster chooses to be him.
There might not be a reason for why he lied other than he is John Locke and that's what John Locke does best.
Before the camp bonded tightly, John Locke was noted as man that seldom shared information about where and what he was doing on the island.
Case in point, he reluctantly told the camp about his finding of "the hatch" and he sabotaged the communication equipment that Sayid used to search for the Island's radio transmitter.
