Fact that Giuliani rushed onto television to deny it and to say that Cohen is a liar tells you they are very, very worried.
Cohen is basically the missing link in the collusion story. And in any number of other ones. Trump is risking opening the whole can of worms to try to shoot down this one story.
Turns out there's little attorney-client privilege when the lawyer ain't doing legal business. He's Trump's fixer, and he's fixing him good.
It's collusion.