Its not usually denial about their dementia, its usually anosognosia - they are unable to understand that there is anything wrong.
I once heard an analogy about thumbs:
Suppose that the next person you meet says "oh my, what happened to your thumbs?" You look at your thumbs and you cant see anything wrong with them, so you think that person is a bit odd. Next your family starts saying "where are your thumbs? When did you lose them?" and insists that you go and see the doctor about it. You dont understand what they are going on about though, as you know that your thumbs are still there, so you dont really want to, but eventually you do and you get referred to the hospital. At the hospital the doctors are saying that you have lost your thumbs and try to show you results of scans to prove it. By now you are getting very annoyed and are certain that there is some sort of conspiracy, because you look at you hands and they dont look any different, you can see and feel your thumbs and you know that you havent lost them.
Thats what its like for someone with dementia.