The main reason that Roman Catholics and Orthodox Christians don't consider themselves a denomination and as "the church" is their belief in Apostolic succession as what defines the church.
Since they belive that apostolic succession defines the church they can claim to be one the true church.
The problem I would have is a Lutheran is that we define church as a group of believers. So while I can state that my church has the true teachings of the Apostles, which I belive is true. I can not at the same time consider the Lutheran church the only church because we define church as a group of believers. We can only consider them heterodox churchs or churchs which are in error. Under our beliefs the most insulting thing I can say about protestant churchs is that they are heretics. Of course with Roman Catholics our forefathers where slightly more insulting. I myself have had difficulty with this and will rarely if ever refer to them as just "Catholics". Simplily because Catholic meaning universal would ceed to them that they are in fact the universal church. Which they are not, so I refer to them as Roman Catholic - a group of people within the Universal church. Our Evangelical catholic forefathers often had much more biting words to refer to the Roman Catholic Church.
Of course as such I consider Roman Catholics and Orthodox Christians to have denominations. And as I stated before, it is interesting because Eastern Orthodoxy could actually be broken up into 15 denominations based on what Patriarch you are under.
However a Roman Catholic or the Orthodox can take Apostolic succession and they could not only refer to protestant groups as not even being churchs but they could also they could go as far as to consider them as not even being Christian. (Well the current Roman Catholic catecism states that we are Christians) They can by their own beliefs seperate themselves from the fold and term denomination.
As a side note I would be interested on the general Eastern Orthodox teaching on salvation status of the heterodox - Roman Catholics, Evengelical catholics, and Protestants. The Roman Catholic teaching is written in what I consider a purposefully unclear way, to which they probably would have better off saying "We don't know."