What is the important difference between (1) assigning low utilities to outcomes in which the agent has just lied, and (2) attempting consequentialitically to make the world look just like it did if the agent doesn't lie? I mean, surely the way you do #2 is precisely by assigning low utilities to outcomes in which the agent lies, no?
This was demonstrated, in a certain limited way, in Peterson (2009). See also Lowry & Peterson (2011).
The Peterson result provides an "asymmetry argument" in favor of consequentialism:
Another argument in favor of consequentialism has to do with the causes of different types of moral judgments: see Are Deontological Moral Judgments Rationalizations?
Update: see Carl's criticism.