I have brought this up with several people before when discussing the movie, and nobody has a good explanation. Simply put, there isn't one. The most I've ever gotten from someone is just the reiteration of "he has to protect his family" which is a bullshit answer and one that's completely out of character.
Gordon realizes that the Joker is going after prominent targets such as the commisioner and the mayor. By taking the bullet and foiling the Joker's plans, he puts himself (literally) in the line of fire. This is, of course, not taking into consideration that he might have already been a target as a seemingly well-known/rare, honest Gotham cop. Though I seriously doubt it.
So if he fakes his death, he thinks the Joker will move on to the next guy? Is that the plan? How completely selfish and unheroic. Gordon and his family are safe, but now someone else is at risk.
And that in itself is making huge assumptions about the Joker's mo. Is he even targeting people's families? Why start with Gordon's? And the way Gordon robs the Joker of the mayor's death, who's to say he wouldn't go after the family anyway as revenge?
Ultimately, it's a decision based solely on providing a fist-pumping reveal when Gordon shows up again. Nothing in the script or characteirzation supports it. I'd be really fascinated if someone could find a legit reason.