Question about the Departed

In the scene where Mark Rolston's character Delahunt is dying on the couch from being shot in the stomach, he calls Leo's character (Billy) over to tell him he gave him the wrong address and that he knows Billy is the rat. He then says "Tell me why I didn't tell anybody" and then dies. I still never understood why he didn't tell anybody. Any help?

I dont believe its because he was an undercover cop like the news report says because as Costello says, "The cops are saying he's a cop, so I stop looking for the cop."

Apologies if quotes are exact.