The original reporting that Trump is under investigation came from, of course, anonymous sources, which Trump used to love. The reason Comey didn't want to make a formal public statement that Trump wasn't, past tense, under investigation personally was that if he did, he would have to correct it should that change, and the Feds aren't in the habit of doing so. They don't make public statements about who is and isn't under investigation. They don't even make a formal practice of telling people when they are under investigation. That's why Trump was so persistent in asking. Mueller isn't even a normal Fed. The likelihood that he made a formal statement, one way or another to Trump, is very low. The only information Trump has that we don't is what Mueller has been requesting from him and his people. However, Trump has almost certainly not received a blanket statement from Mueller that he is not under investigation, just as he has probably not received a formal statement that he is. Does he believe that this means he isn't under investigation? I... don't know. Trump could just be in total denial, if he hasn't heard anything from Mueller. He could simply assume that nothing has changed until he hears that he is under investigation, even though Mueller wouldn't see it that way.
Then again, this could be strategic. Mueller could take a long time with the investigation, particularly if he needs to go through Trump's complicated finances. If so, then Trump's lie (or maybe just bullshit) that he isn't being investigated won't be debunked until a formal report is released anyway, and until then, he can claim that any stories about the investigation are just... say it with me: "fake news." Besides, that could be a long time in the future, and Trump has never been punished for lying anyway, so why not just lie and get some more mileage out of bashing the media?
This is the problem with trying to analyze Trump. Mueller probably wouldn't give Trump formal notification, in which case Trump really might believe that he is not personally under investigation. Yet, even if he were, he'd still have his lawyer lie brazenly about it. And it wouldn't even be a stupid lie.
