"to know" is also correct, with a slightly different meaning.
"I know" means right now.
"I have known" means that from the perspective of this moment now, knowing has happened in the past.
"I am honored to have known him" would mean something similar: Right now, I have honor, because in the past, I knew him.
"I was honored to know him" would mean that in the past, I had honor because at that time I knew him. The knowing is happening at the same time as the honor. What confuses this a little further, however, is the meaning of "know". You can't suddenly know someone that you didn't know the moment before. Knowing someone is something that grows over time, so "to know him" speaks of the present, but implies something of the past.
"I was honored to have known him" means that in the past, I had honor because at the time, there was a moment even further in the past where I had known him. So looking at the rest of the context, and understanding that knowing the man ended at the time of his death, we understand that we are speaking of a time that is in the past, but after the man's death. At that moment somewhere between the death of the man and now, I was honored, because I had known him. In contrast, "I was honored to know him" speaks of a time when the man was yet still alive.