Because he was in love with her. We're made to think in the beginning that Sue was a naive, innocent girl who would get taken advantage of by men but she's the one that used him and had him take the fall for her kills because she played him. She knew all along that he wasn't a secret agent. He already had his reputation of being a liar so for him to claim he did the murder and turn around and claim he's innocent wouldn't never help his case. In the end she find her next victim who we are to assume that she'll try to convince the guy to kill the people she's staying with. Morton who believed Dennis was innocent watched her because he knew Dennis was innocent and suspected that she was the poison. Who knows, if there's more killings, he can get her arrested and build a case against her to free Dennis. OR if it's gonna be a horror film, she'd suspect him of following her and then kill him, getting the new guy to take all the blame.
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