The quotee, 'One thing is certain, it is that I am
not a Marxist', has for its context Marx's and Engels' vexation with two French revolutionaries : Jules Guesde (1845-1922) and Paul Lafargue (1842-1911).
Marx and Engels ... did not wholly agree with the actions and utterances of their
French disciples [Guesde and Lafargue] .. Guesde was too eager to realize big results in his own
lifetime. He had inherited "the Parisian superstition of bandying
about the word revolution." While
Engels disapproved of Guesde's "absurd purism," of the rigidity of his
doctrine and of his desire, à la Bakunin, to dominate all organizations,
Marx reproached Lafargue for continuing "to multiply useless incidents" and for talking too loosely. "I find," wrote Marx to Engels,
"that he is too much like an oracle." In his activity, Marx said, Lafargue was "the last, earnest disciple of Bakunin." The theories and
tactics of the French leaders were so at variance with those of Marx
and Engels that the two observers in London questioned the derivation of the Guesdist doctrine. "It is true," wrote Engels to Bernstein,
"that the so-called 'Marxism' in France is quite a special product."
And after reflecting on the French version of his teachings Marx was
reported to have said to Lafargue: "One thing is certain, it is that I am
not a Marxist." (Samuel Bernstein, 'Jules Guesde, Pioneer of Marxism in France', Science & Society, Vol. 4, No. 1 (Winter, 1940), pp. 29-56: 51-2.)
For the credentials of the quote, see E. Bernstein, Die Briefe von Engels an Bernstein (Berlin, 1925), p.34 f.
Marx made this comment because he saw his followers, some at least, as solidifying his ideas and arguments into a set, finished body of doctrine. No matter how dogmatic he could be, Marx was an inquirer, or saw himself as such, who had obtained crucial insights into the nature of capitalism and the direction of history but who never supposed that his work was a finished job. He never got past the first volume of Capital, meant to be a multi-volumed work. Marx's ideas and arguments were, as far as he was concerned, work in progress even of he had achieved (to his own mind) significant progress.
There is also the point that Marx resented what he regarded as the idiosyncratic and only partially comprehending use of his ideas and arguments by groups that chose to use his name.
The idea that he had produced a comprehensive account of politics, history, economics, philosophy and society rather than penetrating, coherent and vitally illuminating insights into them struck him as absurd.