Steve straight-up lied when he said that he didn't know it was Bucky. He lied to protect his friend (the only friend he cared about) and himself. He also lied because he's a selfish human being who realized that he had ****ed up big time.
When Zola showed Steve and Natasha that montage on TWS, it was obvious that Bucky had assassinated the Starks from the juxtaposition of his image, a newspaper story about their deaths and Nick Fury's file stamped "DECEASED". Bucky killed Nick to further HYDRA's plans and he slaughtered the Starks, too. Stephen McFeely told Collider that: "Steve and Natasha, though we don't talk about that, watched that video in The Winter Soldier, they know categorically that HYDRA killed them, never told Tony. So when Tony asks him, Rogers, "Did you know?" and he says yes, it's maybe the worst thing Steve's ever done. Right? Certainly the most self-involved."
I transcribed what McFeely said word for word and I'll embed the video again because this point has come up several times. The idea that Steve Rogers never lies is appealing; he even made that claim himself in TWS (where he undoubtedly lied about having kissed a woman since 1945). What's more appealing to me is that Steve is flawed. Not only did he lie in CW, he lied for selfish reasons. Before that, Steve always sacrificed his own needs for the greater good. In this one instance, he kept information from Tony to protect Bucky and make it easier to keep the search for his friend a private project. A motivated Tony Stark, with resources Steve lacked, would have found Bucky in days no matter where he tried to hide. Keeping him in the dark worked in the short run, but when really pressed Steve couldn't lie to Tony's face a second time.
When Chris Evans was promoting TWS, he said that one thing he wanted was for Steve Rogers to make a mistake. He said that as an actor he would love to play that, to see how a basically good man could do something disastrously wrong and go where that would take him. He got his wish in CW and it was wonderful.
[YT]https://youtu.be/qHohgK7B8-s[/YT]