a bit late with my 2 cents as usual...I should probably save this since the question at hand comes up periodically and I always have to look up the cite again before posting the info...
in Vol. II of above, "The Politics of Social Classes', Draper (pp. 5-8) maintains that we know the quote (or a variant) because Engels mentioned it 4 times...
1. a letter to Bernstein in 1882 in which E states that Marx said to Lafargue about French 'Marxism': 'what is certain is that, as for me, I am no Marxist'...
2. a letter to Schmidt in 1890 in which E recounts that M said about French 'Marxists' of the late 1870s: 'All I know is than I am no Marxist'...
3. a letter to Lafargue in 1890 in which E reminds L of the French who went in for Marxism and of whom M said the same as #2...
4. a piece published in 1890 in the Social Democratic party newspaper in which E writes that M said of the prevailing French 'Marxism' of the late 1870s: 'all I know is than I am no Marxist'...
Draper also notes a thirdhand account from Lopatin, the Russian Populist translator of _Capital_, who wrote that Engels had told him that M said of the French Marxists: 'I can say only one thing, I am no Marxist'....and D indicates that M's other French son-in-law, Charles Lonquet wrote in a 1900 preface to _Civil War in France_ that M had said: 'Still and all, I am no Marxist'...Michael Hoover