That is misquotation of Gandalf's words to Bilbo in the first chapter of the Hobbit (when Bilbo asks for the name of than mysterious old man with whom he converses 'one fine morning in the old times' etc)
Actual quote is:
Quote:
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I am Gandalf and Gandalf means me
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Olorin is also Gandalf, that is, the name he is known under in the West
Other names are Mithrandir (as elves call him), Tarkun (as dwarves do), and Incanus (as he is known in the south)