So technically, I'm a millenial (cue applause and AA-like welcome). Although I did read an article a few weeks ago which had another name for people born in the quite small range from '79 to '81 (I'm from '81).
I agree with Eric, Harley and BMW both target people in a higher age category (to put it somewhat politically correct), athough both also try to address a younger audience as of late. If BMW would produce a more bikes with the look and feel of the S1000R(R) models, but with smaller displacement engines, I think it would appeal more. Personally I don't think the F800 twins really appeal to 'younger' people. And yes, I know I'm somewhat projecting my own opinion here, but I'm a millenial right? ;-)
On the other hand, HD is also targeting a younger audience with bikes like the latest Street Rod, but in my opinion kind of missing the point by removing some of the HD characteristics from the bike. I found the review Fortnine did quite spot on:
So in short, no, I don't think HD is right saying millenials are less interested in motorcycles. Then again, this would be quite an easy thing to investigate in solid numbers. Also, I can't speak for the American market, but as far as I know the number of riders here in the Netherlands are still increasing. And not a lot of Harleys are sold here anyway.