A simple No I didnt would have been a good denial.
It really is a bit like the old “is it true you’ve stopped beating your wife?” scenario. Calling it an undignified question and moving on from there is the right course. If the media wants to continue pursuing it, they can, but they start looking like the bore at a dinner party that won’t let a subject go.
Refusing to respond sends a powerful message that it might be true and that’s what gives the story “legs”. He should deny it.