It's possible he thought/knew the Ministry would begin a strict interrogation (in America, even self-defense is a hard case to prove), especially with the breach of security, and he wouldn't have been able to keep up the charade.

Also I don't think Peter's much a spotlight sort of person. He's always wriggling out of attention; sure he possibly craved power, but I think he liked the behind the scenes double agent thing. Also, it would have gone down badly when VM did come back and Peter was famous for denying him.