Or why say at all?
On all the job application forms I've filled out and been honest that I'm a student, I've never heard anything form back. The jobs which I haven't said I'm a student, I've generally heard back from! It's a known thing that employers want to steer clear of students as they generally have other committments such as study which will compete with work. I remember I was in Bay buying a top and at the till the manager was speaking to someone interested in a job. She sounded really enthusiastic, but then said 'Oh, you're a student, that could be a bit of a problem' and her tone changed completely!
The only time now when I say I'm at University is if it will help me in the job, for example with me, my course involves periods of teaching practice, so that's experience of working with children in sport etc.