I'm an England fan and I knew there was no chance we'd win but expected to probably make the quarter final. We had won 10 out of 10 in qualifying and looked pretty good throughout, and given the draw on paper I don't think that was being unreasonably arrogant. Didn't bank on Hodgson changing from a system that worked very well and putting too many of the wrong players in the wrong positions and generally having no idea what he was doing. It wasn't unreasonable to think that based on the sustained level of form over the last 2 years that they could have done better than they ended up doing.
Also Linekar is an English pundit catering to an English audience. Out of his mind if he really believed that they could win it, but I doubt many pundits from other nations said "we have no chance and shouldn't even bother turning up" either.