Yes, I guess I used to do this, although I didn't really consider it to be lying. (I don't see anyone anymore.) I would always just slap a smile on my face & say I'm okay... just couldn't bring myself to do differently. I don't think it had anything to do with not wanting to make them feel bad though. Maybe it was pride or something. Or maybe it was just that I had done that with everyone in my life for so long it was just habit.
Here are links to 2 articles by our host Dr. John Grohol, Psy.D. plus 2 additional articles, from PsychCentral's archives, on the subject of lying to one's therapist:
Why Would You Lie to Your Therapist?
10 Common Reasons to Lie to Your Therapist
Talk Therapy: How Honest Are You?
Why We Lie to our Therapists | Therapy Unplugged