Failed PhD qualifying exam, must it be mentioned it in SOP? can I ask my advisor not to mentions in recommendation letter?
The issue is that schools know about other programs in their field. If you are applying to another school while you are still enrolled, the obvious assumption is that something has gone wrong at your current school. This will act as a potentially big problem—particularly if the other school is known not to have a separate master's program, but instead admits directly to a PhD program.

I would recommend not hiding this from schools to which you apply; doing so would be sufficient grounds to revoke your admission, if it were to come to light, since you are lying by omission in your application. 

Moreover, if you have done good research, and your advisor is willing to testify to that, and your only significant issue is that you struggled with the qualifying exam, then you should be able to find a new department. (Perhaps you should look for departments where you won't have to take a qualifying exam—there may be some in your discipline, and more and more schools are dropping them.)