Yes they will.
FBI NICS keeps keeps a permanent record of all "Denied" transactions. "Delayed" transactions are saved until they become a "Proceed" in which case the information from that check would be deleted at the close of the NICS business day. If the "Delayed" status is eventually changed to "Denied", the FBI will keep the information on file.
My mistake. Do you know if the denial records will have any affect on future background checks? The reason I thought it did not is because I was once denied, but have subsequently passed many NICS checks. I usually get delayed though...maybe that is because they find the denial record and want to investigate.