Macbeth lies because he doesn't want Banquo to think he believed the prophecy and is waiting for the moment when he will become king.
When he received the prophecies, Macbeth was excited by the possibility of becoming king, but he knew he could not show it, for the king was a private friend of his and a good sovereign who was in good health.
Macbeth planned to assassinate the king, but so that no one would suspect him, he lied about not thinking about his prophecies.
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