It's more-or-less a Glomar response, crafted to neither confirm or deny that evidence exists. This is frankly the right thing to say when there's an ongoing investigation and the results aren't made available to the speaker.

I watched that NBC interview here: http://www.nbcnews.com/politics/politics-news/former-dni-jam.... Right after Clapper answered, the interviewer asked him whether the information exists, and Clapper answered that it does not to his knowledge, but he does not know whether more information has come to light since he left office.

The full question and answer which addresses this: https://youtu.be/FrS8kid6baw?t=34m14s

The entire existence of spooks is about deception. That's why they don't speak directly or truthfully.