The researchers suggest noise, ultrafine particles, nitrogen oxides and particles from tyre-wear may be involved.
However, the study looks only at where people diagnosed with dementia live. It cannot prove that the roads are causing the disease.
To add some anecdotal evidence, my Gran got dementia and spent most of her life (after her kids had left) living on a quiet road near the beach in Eastbourne. People living near busy roads are probably more likely to be stressed and too much stress can be very bad for your health, but I doubt there is any direct causation here.
Anyway, I live on the slip road to the Blackwall Tunnel, and given the amount of muck that comes of it and how much more frequently I have to clean then it wouldn't surprise me at all if there is a correlation between inhaling exhaust fumes and a whole range of problems. (/anecdotal evidence)