If Elon was self-absorbed he'd be buying private yachts or private islands or massive mansions. He wouldn't be constantly talking about existential risks to humanity and trying to come up with ways of fixing them. Is Bill Gates self-absorbed? Much of what Elon Musk does is in a similar vein as the Gates Foundation, though often through for-profit companies.
I'm not sure what you're saying, but the source is actually him denying it.
> About the contention that he had a threesome with Ms. Heard and her friend Cara Delevingne, Mr. Musk said, laughing, “We did not have the threesome, you know. So I think people think these things are generally more salacious than they are.”
He's laughing at the reporter for even proposing the idea, followed by downplaying it in a way that makes it clear that this was the media being sensationalist for clicks again.