No. He would never acknowledge his feelings for Harley. It’s not something he’s proud of. He denies it and represses it and gets angry about it. He won’t even admit it to himself. Those feelings are way way way down, underneath all his insanity and egotism.
Telling Harley would just make them more real and tangible. Actually having real human emotions is damaging to who he is, and his career, and how people think of him and how he thinks of himself. Once he’s told her, he can’t take it back. She knows. And Harley knowing takes away a lot of the power he has in the relationship. It means no matter what Joker does to her she knows underneath it all he loves her, he confirmed it. It takes away all of Harley’s insecurities in the relationship, all her suspicions, all her fear, all her worrying and her need to constantly prove herself to him. Joker doesn’t want to give her the satisfaction. He doesn’t want her being too comfortable and confident in the relationship. He needs to maintain his control over her. It’s twisted, and disturbing but I love it. But I think maybe in their later years when they’re older and not as passionate about crime he would feel comfortable telling her, but the way he is now, not a chance.