Fredo was half in the bag at the Havana sex club, and not paying attention to Mike standing behind him. He just blurted it out not thinking that Mike was gonna hear it.

I never figured out why Fredo denied knowing Roth and Ola anyway. We are told that Roth was an old associate of Vito's, dating back maybe 30 years to the Depression. If he knew Vito all that many years back, who's to say Fredo wouldn't have met him at some point? Plus Fredo had been fobbed off on Las Vegas by Sonny and Vito, sent out there so he would stay out of trouble. Moe Greene took him under his wing, but whose wing was Moe Greene under? Hyman Roth. Hyman Roth was supposed to be the head honcho behind all of Las Vegas.

If Fredo had been sent out to Las Vegas 6-8 years before to be involved in mob stuff under the protection of Moe Greene, he could hardly have NOT known Hyman Roth (or Ola who was his right-hand man.)

I never did get what was the point of Fredo saying he didn't know Roth.