Translation:We never tell him that we love him.
"Lui" is the indirect pronoun form of "il" or "elle" when the verb is constructed with the preposition "à".
So, "à+il" or "à+elle" = lui.
Dire quelque chose à quelqu'un = to say something to somebody.
"Nous disons à notre enfant que nous l'aimons" becomes "Nous lui disons que nous l'aimons" when "notre enfant" is replaced by a personal pronoun that you have to place before the verb.