Quite a few characters in The Great Gatsby are in denial. For starters, Nick states that
I am one of the honest people that I have ever known.
He makes this statement after he has confessed that he still writes to a girl back home, signing his letters, "Love, Nick" when he desires to get out of that "tangle" when he finds himself falling in love (somewhat) with Jordan.
Gatsby declares in Chapter Six that he can repeat the past:
"Can't repeat the past?" he cried incredulously. "Why of course you can!"
This particular example of self-delusion is Gatsby's downfall, since he has convinced himself that he can make everything the way it was when he and Daisy first met, even though in the years between she has married Tom and had a child.
Myrtle has convinced herself that Tom loves her and is planning to marry her.
Even the drunken driver at Gatsby's party refuses to admit that he can't drive when the wheel is off his car.