The moment they furloughed you you should have started looking, the big hint from your boss was to tell you I can't save your job.
Always answer this question honestly. In your specific case you will not have to hide the fact you are looking from your employer. They expect that you have been looking since the first furlough notice went out.
Every company realizes that a significant number of people look while they are still working. So the question really means "for your current employer only, why are you looking?".
They will typically also ask if they can contact your current employer. You should tell them yes. People answer this no when they haven't told their employer they are leaving, or they are afraid a a bad review. I would interpret that the message from your boss, is that they won't give you a bad review, or that they never give a bad review.