I frankly am very surprised to see this attributed to anybody at all.
I personally do not believe any of them.
It's in mgm's (this website right here) collection at
http://www.quotationspage.com/quotes/Robert_McCloskey/
Also found attributed thusly:
I know you believe you understand what it is you think I said, but I am not sure you realize that what I said is not what I meant.
~President Richard M. Nixon to the International Press Corps
http://www.acsu.buffalo.edu/~chalufu/test.html
"I know you believe you understand what you think I said. But I am not sure you realise that what you heard is not what I meant."
~ Alan Greenspan
http://www.info.gov.hk/hkma/eng/viewpt/20010201e.htm
I know you think you understand what I said, but what you heard is not what I meant.
http://www.juggling.org/~kparsons@nlnet ... klers.html
The Word Game:
“Now you think you understand what I said, but do you realize that what you think you heard me say is not what I meant?"
Another version:
"I believe that you think you understand what I said, but I fear, that you don´t realize, that what I say is not always what I really mean"