You only want to tell him to alleviate this MIS-PLACED guilt you're feeling. You were not a couple when you dated the other guy (this is yet another reason why people should wait a while after breaking up instead of jumping from one guy/girl to another... it avoids unnecessary drama such as this).
Anyway: Don't tell him. It will just cause all kinds of a shit storm right now. When you're 60 years old and if you find you're still together then tell him then. You did NOTHING wrong so please don't feel guilty. If you had told him the truth, it sounds like he would have done something stupid like punch the crap out of the guy and then he would have ended up in jail and you'd not be with him anyway if that happened .. So: Assume that is what would have happened, change your frame of mind from feeling guilty to feeling glad you saved him from himself and get on with your life.
“The willingness to accept responsibility for one’s own life is the source from which self-respect springs.” ~Joan Didion