This is an intriguing question.
In my opinion, there are a few reasons why he may have been led to make the choice that he did.
Firstly, by his words, at least in the
books, it can be gathered that in a relative way, he did have hope for changing
Saruman's mind, or at least showing him how ridiculous what he was saying was.
Gandalf seems very reluctant to let go of hope, so I would say, he may have been planning to try and get Saruman back on the right path. When he had left, if he was allowed to, he may have consulted with the rest of the
Istari and tried to get Saruman back to fighting
evil and not siding with
Sauron.
Secondly, as has been listed above, I think Gandalf was better than that. He was a purer soul than would lie simply to escape a punishment on himself. He knew the dangers of evil, and how easily it could consume someone, with tiny chinks away at them until they forgot all that was good and came to love the darkness. Because of that, I don't think Gandalf would have told a lie, even for a good cause. He would know that it could cause more harm than good, and that there is no good in winning if you become the very evil that you are fighting against.
Of course, there are other conclusions, ie. it needed to be done,
Frodo had to find
Strider and he may not have if Gandalf showed up right away.
But all the same, these were some that I had come up with.