In Of Mice And Men, why does George lie about the gun?

At the end of Chapter Five of Steinbeck's Of Mice and Men the ranch hands, including a very angry Curley, prepare to go after Lennie when Curley's wife is found dead in the barn. When Carlson goes to retrieve his Luger pistol he discovers it missing and blames Lennie, claiming, "The bastard's stole my Luger" which prompts Curley to order the men to shoot for Lennie's "guts." George immediately lies, suggesting that Carlson has lost his gun. In reality, George has taken the gun with the idea of killing Lennie himself. George most certainly remembers the words of Candy who insists that he should of shot his dog himself. George's decision is further strengthened when Slim tells him that it wouldn't be good for Curley to get to Lennie first or for Lennie to be locked up and strapped down. In the end, George uses the Luger to shoot Lennie in the back of the head.