No, they do not say that because they do not think it.
If anyone has said this they were expressing their own view, which everyone has freedom to do, but it is not a view taught within the New Kadampa Tradition (NKT).
Ven. Geshe Kelsang has said that the Dharma practiced in the NKT is pure because it comes from Je Tsongkhapa’s teachings. However, this is not the same as saying that the NKT is the only pure tradition of Buddhism or that other traditions do not have pure Dharma; and he has made this clear on numerous occasions.
What is pure Dharma? According to the ancient tradition of the Indian Buddhist monastery of Nalanda:
The Dharma is pure if it reveals the entire path that leads to enlightenment, presents each point unmistakenly, and has been handed down in an unbroken lineage from Buddha Shakyamuni.
Any tradition of Buddhism whose teachings possess these characteristics has pure Dharma, not just the NKT.
You might also be interested in this recent response to a Tricycle Magazine article: A RESPONSE TO: The One Pure Dharma: The New Kadampa Tradition is controversial—and growing. Why?