Dumbledore clearly suspects Harry might be behind Azkaban. In fact, he says as much. However he doesn't "know".

Dumbledore certainly doesn't "say" that he knows. But as readers we are not shown his internal thoughts (in contrast to Harry, Hermione, Mcgonagall, and many others). Dumbledore's thoughts have been deliberately made opqaue to readers. So we can't definitively say that he knows or doesn't know something. We can only infer which is more likely given other known facts.

I will note on a meta level though, that one possible reason not to show a character's thoughts is that they are thinking and saying different things.