у/в + accusative case means 'to' (direction); у/в + locative case means 'in' (no movement). Cf. here: http://www.ukrainianlanguage.org.uk/read/unit16/page16-5.htm "у Денвер" is accusative, therefore it means 'to Denver'.
Is there any indication whether the tone of this statement is closer to a refusal or a casual statement of fact? If it's the latter, "I'm not going to go" would be the natural phrasing where I'm from. As strange as the redundance of "going to go" might sound, it's more common for conveying that meaning (of course it's shortened in the vernacular to sound more natural: "I'm not gonna go").
Really, "Will you go to Denver?" sounds like you're being asked to make a choice, rather than being asked about your plans. That's what I'm trying to drive at. Similarly, "I will/won't go to Denver" sounds like a decisive statement rather than an explanation of your plans. So, I'm curious to know what the tone of the sentence is in Ukrainian.