It’s true that Jesus never said the words, “I am the son of God,” but that does not mean he’s not or that he ever denied it. I don’t call myself “the son of Jim” when I talk, but that doesn’t mean my father’s name is not Jim and that I’m not his son.

When Jesus walked on water and appeared the disciples, they responded:

And when they climbed into the boat, the wind died down. Then those who were in the boat worshiped him, saying, “Truly you are the Son of God.” Mark 14:32-33

Jesus does not deny what the apostles said. Later when speaking with the Pharisees:

Jesus answered, “I did tell you, but you do not believe. The miracles I do in my Father’s name speak for me, but you do not believe because you are not my sheep. My sheep listen to my voice; I know them, and they follow me. I give them eternal life, and they shall never perish; no one can snatch them out of my hand. My Father, who has given them to me, is greater than all; no one can snatch them out of my Father’s hand. I and the Father are one.” Again the Jews picked up stones to stone him, but Jesus said to them, “I have shown you many great miracles from the Father. For which of these do you stone me?” “We are not stoning you for any of these,” replied the Jews, “but for blasphemy, because you, a mere man, claim to be God.” John 10:25-33

The Jewish leaders understood what he was saying and got ready to stone him. The angel Gabriel said Jesus was the Son of God when talking with Mary.

The angel answered, “The Holy Spirit will come upon you, and the power of the Most High will overshadow you. So the holy one to be born will be called the Son of God. Even Elizabeth your relative is going to have a child in her old age, and she who was said to be barren is in her sixth month. For nothing is impossible with God.” “I am the Lord’s servant,” Mary answered. “May it be to me as you have said.” Then the angel left her. Luke 1:37-38

The apostle Peter said it.

Simon Peter answered, “You are the Messiah, the Son of the living God.” Matthew 16:16 The apostle John said it. But these are written that you may believe that Jesus is the Christ, the Son of God, and that by believing you may have life in his name. John 20:31

Jesus did not deny it.  God called Jesus at the Baptism and the Mount of Transfiguration.  "This is my Son with whom I am well pleased.”

While never quoted as saying the exact words, there is enough evidence to show that Jesus understood he was the Son of God.