It means that you have something to hide and pretend to be someone that you are not.

Hello Andrew, To live a lie is to live a life that is dishonest because you are pretending to be something that you are not, either to yourself or to other people. Another meaning is apparent in the following example: "When Tom told his wife about his 3 year long affair, he spoke of the relief he felt at no longer having to live a lie."

You once said a lie. People believe what you said. Now you have to keep up appearance. You said you were a millionaire. You don't want to show them that it's not true. So you have to spend a lot of money. To meet their expectations. It also might mean you are not satisfied with your life. This is not what you really want to do.

'Live a lie' is an idiom meaning 'to keep something important about yourself a secret from other people, so that they do not know what you really think, what you are really like, etc.'