[A_Brandybuck]

I agree with you, that Gandalf hadn't really a 'home' in his time in Middle-Earth. He was wandering and helping and wandering and helping all the time, so it is understandable, that there was no need to build, buy or whatever a house to live in.

But I've ever thought, that the Shire was the home of Gandalf in a far sense. The Shire is a place, where Gandalf can find diversion from the sorrows of Middle-Earth. The Shire with its merry folk is a place Gandalf loves. There exists a special binding between Gandalf and the Shire.

There is a quote from UT, The Quest of Erebor, which seems to underline my theory:
"Those were my dark thoughts as I jogged along the road. I was tired, and I was going to the Shire for a short rest, after being away from it for more than twenty years. I thought that if I put them out of my mind for a while I might perhaps find some way of dealing with these troubles. And so I did indeed, though I was not allowed to put them out of my mind.

It sounds like coming home after a long time being absent.