Short answer: Power.
The whole reason Rumple/Gold became what he did was because he wanted to be in control- powerful and fearless, not like the coward he once was.
However, in acquiring that power he also bound himself to the dagger, which means anyone with that dagger controls him- as long as they hold the dagger, <PERSON> is forced to obey their command, as we have seen before.
He gave <PERSON> a fake version of the dagger when he proposed so that he could be free to kill <PERSON>, who is indirectly responsible for <PERSON>'s death (his son) since it was <PERSON>'s wish that he not kill <PERSON>.
He tells <PERSON> (his grave) about gaining love with <PERSON>, but it has started with a lie since she believes the dagger is in her possession. Mr. <PERSON> contends that the dagger was needed to avenge <PERSON>'s death, but now he must find the strength to return it to <PERSON>.
He did initially return the real dagger to <PERSON>, but took back shortly afterwards. After he last experience under the control of <PERSON>, which as noted above resulted in the death of his son, <PERSON> wanted nothing more than to be completely free of the dagger but still retain his powers.
The apprentice (of the magic wizard's hat) believes Mr. <PERSON> will never accumulate enough magic to reach his goal, which is to be free of the dagger's control and retain his powers.
...
<PERSON> reveals the dagger was once in her possession and thus she knows its secrets. 773
In exchange for knowledge of the last thing he needs to be free of the weapon's will, <PERSON> wants the ribbons she and her sisters gave him in a past deal. After she whispers the secret to him, Mr. <PERSON> replies that he'll gladly do it.
. . .
So basically the reason why he's still keeping secrets from <PERSON>, giving her the fake dagger and retaining the real dagger himself is because he wants to be completely free of it- as long as the dagger exists and he is bound to it, there is always the chance someone could come into possession of it and control him like <PERSON> did. But he still wants to retain his powers. 86