The accepted answer helped me but I got tripped up while doing concatenation of varchars involving case statements. I know the OP's question does not involve case statements but I thought this would be helpful to post here for others like me who ended up here while struggling to build long dynamic SQL statements involving case statements.
When using case statements with string concatenation the rules mentioned in the accepted answer apply to each section of the case statement independently.
declare @l_sql varchar(max) = ''
set @l_sql = @l_sql +
case when 1=1 then
--without this correction the result is truncated
--CONVERT(VARCHAR(MAX), '')
+REPLICATE('1', 8000)
+REPLICATE('1', 8000)
end
print len(@l_sql)