Except that people do, in fact, say things not so far from "Bill Gates is the most generous philanthropist of all time". If you put "most generous philanthropist of all time" into your favourite search engine, I bet you will get a lot of top-N lists and I bet Bill Gates will be in all of them. (Unless they're things like "most generous philanthropists you've never heard of", "most generous female philanthropists", etc.) If I put that exact phrase, in quotation marks, into Google, the result I get up at the top is an article from 2007 (so, well before that interview) making
that exact claim. [EDITED to add:] More precisely, it calls him "perhaps the most generous philanthropist of all time".
I don't think it really counts as a humblebrag to say "it's a myth that I'm X" when there are in fact a lot of people saying you're X.
He could, for sure, have gone further out of his way to avoid humblebragging: he could have said something like "I think a lot of people overstate how generous a philanthropist I am". But he was asked, specifically, what the most annoying myth about him was, and all the anti-humblebrag tactics I can think of right now avoid humblebragging by not stating a specific proposition at all -- so they fail to answer the question he was actually asked.
And he could, for sure, have picked something else, maybe something about his time at Microsoft. But these days he's much better known as a philanthropist than as a Microsoft founder or executive, and I bet the things people (truly or falsely) believe about his Microsoft career aren't the things he considers the most annoying myths.