Deception is a type of lie.  It’s when someone makes or lets you believe something that isn’t true.

I was deceived into thinking the capital of New York State was New York City.  It’s Albany
Everyone fell for Melissa’s deception; no one suspected the truth.

Disappointment is what we feel when our expectations were not met; do not use “deception” here!

I was disappointed when I caught my son stealing $20.  I thought I had raised him better.
The team really disappointed me today—I was expecting them to play a lot better!