You obviously misunderstood the context of what he said. "I'm not political" in this context means he has no interest in being a politician — running, and the media circus that goes with it. You can see that as a sentence or so later he says "You know, it's something that you'd love to be President, but not ever run." You are confusing the job of being political as a politician with being political as having specific viewpoints on current events while being quoted or enacting policies while running the company he is CEO of. Those are two different things completely. I debate with friends and colleagues about topics I feel strongly connected to, but that would be a different context than actually entering and running in the political forum.
Ok, rush limbaugh is not political then.