Well, they did think a deal was possible, didn't they. Obviously. There will have been contact going on with Stephens' agent; Burnley will have known he wanted out; they will have known he handed in a transfer request. And as for TB saying no in no uncertain terms, and don't come back - well...
Why 'must they have known'? Presumably Burnley didn't know for sure they weren't getting Dale Stephens until the window had finally shut, and we had stuck to our 'no sale' message. Equally likely the same applied to us and the striker(s) we as fans didn't know about.