"This game will be held in Denver" should be accepted.

As a Pats fan there is basically nothing scarier than hearing this phrase... I still get shivers.

Also solution I think (but was marked wrong) is "That game will be in Denver"

I don't believe that "This game will be in Denver" would ever be used in English. Referring to the game as "this" implies that one is already at the game, and if one is already at the game, then you would already be aware of whether or not the game is in Denver. If someone was deciding where a game is to be held, I think it would be more appropriate for it to be "The game will be in Denver."