I think the main reason Gandalf says that is because he died and came back, and 'Gandalf' isn't his name anymore. He has a new name now. He has remembered things long forgotten. His original name of course is Olorin. He is a Maiar and an Istari so he's not really able to be more "Elf-like". I think he has been "added to" in his death experience and that may be what you notice in him.
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