I'm afraid to tell my doctor the truth?

So I've been seeing this doctor for about 6 months now.. He put me on zoloft and it was working for a while. But then it just like stopped working. Completely. I feel the exact same way I did before I started meds. But I keep telling him it's working even though it isn't.. Don't ask why because I don't know.. :/ I feel terrible for lying to him about this. But I'm afraid to tell him the truth, that it isn't working anymore :/ I still have feelings of depression and I always want to kill myself.. I was taking it for anxiety and depression. The anxiety is almost all the way gone, but the depression is still all here.. Should I be afraid to tell him the truth? Idk why I am to be honest.. But how should I tell him? Will he be confused when I tell him it just stopped working? Or is that normal that maeds just stop working like that? Please help. My doctors appt. is soon and I'm freaking out.