To give it some prespective, it wasn't long ago that people considered dolphins 'fish' and thought that they weren't intelligent either. Similar thought was also applied to the great apes.
So to say that they do not have emotion is a bit of a narrow view.
What would be a more logical statement would be:
We currently do not have the means to determine with 100% certainty whether or not they are capable of emotions.
So to say for sure one way or another is to be ignorant of the fact that we just can't know at this time with our current technology and experience in analyzing thought/emotion in other species.