Gruden just enjoys being in the spotlight too much to outright come out and say no. It is just like that line from Dumb and Dumber: "So you're saying there's a chance?"
I wouldn't put it quite that way, you make him sound like an egotist. But if you check midtnvol's post from yesterday, there is an article by someone who knows Gruden pretty well that says guys like Gruden do not discourage such rumors because it makes them look desirable and keeps them in the spotlight and thus marketable. You make it sound like he needs his ego stroked. I don't think that's the case at all, but as a practical matter he might let the rumors continue.
The article also said he wants to stay in the spotlight because he actually does want to return to the NFL. I think that all makes sense.
Having said that, I would be thrilled if he came to UT. Still would bet against it though.