Locke says that Eko's last words are "We're next" (which would have been "You're next"). However, they are not. If you listen to what Eko whispers to Locke, you will be able to quite easily hear what Eko really says.

It turns out that Eko actually says "I saw the devil". Why Locke would lie to the rest of the group remains uncertain, but whatever the reason I think it is linked to why he said that an animal killed Eko, when it was in fact The Smoke Monster.