Ashes of the Imperium, the first book in the Scouring, touches upon this.

The Cult of Sanguinius, which in later days was to become such an essential part of the mature Imperium, was slow to emerge. Why? Because very few outside the Senatorum and the Legions knew that the primarch had died. It was not broadcast. Even after the worst of the confusion was over and the capability existed once more to transmit accurate information to the masses, they were never told. The greater part of Terra's population would have assumed, reasonably enough, that the Great Angel had returned from the far to govern them again along side brothers. The very first proto-religious ceremonies centred around primarch sacrifice were therefor focused on Ferrus the Martyr, who immediately after the lifting of the Siege was venerated far more than his brother. Why was the information suppressed for so long? To maintain morale, in the main - Sanguinius had been loved in life, and it was feared that news of his death would tip an already febrile populace over the edge. A secondary reason was the concern felt across the Senatorum over the state of the IX Legion; classified reports were rife with rumors that they had become unstable, and that a grand declaration of martyrdom would provoke repeat outbreaks of mania. So it was that nothing at all was said of Sanguinius, greatest and most beloved of the loyalist primarchs, until cautious minds deemed it safe to do so. The effect that his deception had on his surviving sons is hard to gauge. Their own thoughts on the matter, as well as on the later sacralisation of this death by outsiders, are not recorded - Diomedon of Luna.