I appreciate your honesty!
I say that's what you "should" do, because I think it's the most logical way to respond to that question. That doesn't mean I wouldn't feel guilty about lying, and I've never actually had to do it, so I'm not sure how I would realistically respond in the situation.
In my case, my total compensation at my last job is far more than I could expect to earn at a new job anyway, ha!