There may be different reasons as to his denial -
1/ would like to carry on with the affair
2/ does not feel obligated to be honest
3/ does not want to break up the marriage but wants to have both relationships going on
If he is not being honest in this area, you have to wonder what other things is he keeping from you. If you have all the proof and he still likes aloof, then there is not much you can do. An intervention with other close family members/friends may be something to look into (if you feel that would be helpful) Most likely if you are showing the evidence to his face and he is still denying, then he is not taking responsibility for his actions and does not feel a sense of remorse.