Michael Shermer covers this in The Believing Brain, stating that Columbus held this belief until his death.
Vartec's link also supports this from an EDU site.
> Columbus, who, to his death, clung to the idea that he had found the shores of Asia
In Shermer's book, he talks about finding data that is totally unexpected, so that you can't accept the new information, and thus integrate it with your already held notions. That is in essence what Columbus did. Columbus had no reason to "lie" since he was convinced by his own brain that he had found Asia, and he was going to stick to that story. He even had incentive to say he found new lands according to the wikipage you cited:
> According to the contract that Columbus made with King Ferdinand and Queen Isabella, if Columbus discovered any new islands or mainland, he would receive many high rewards.
He didn't, although he did take on governorship of the islands he believed to be the Indies, and acted "poorly" as said governor.