Cypher prefers living inside the comfortable program to living in the harsher real world.
He wants to get plugged back into the program and have all his memories of the outside world erased, so that he can be blissfully unaware that it's all an illusion. He figures, what he doesn't know won't hurt him. As I said at the start of term , we ordinarily distinguish between what's true and what we know or can know to be true. If I draw a squiggle on the blackboard, and then erase it, the squiggle had a certain length, even if none of us know or ever will know what that length was. What it takes for the squiggle to be 3 m. long is one thing, and what it takes for us to have evidence that the squiggle was 3 m. long is something else.