Imagine that... someone made a clip of that exact line - and nothing else - on YouTube five years ago! Amazing. And thank you!

Ok, he's saying it to Graham Chapman, when my glitching memory saw Michael Palin or Terry Jones hazily... and erroneously.
From what I recall, Cleese is a sketch assembly supervisor or something meta like that, after the sketch is over he is denying giving a lift back to Chapman, having transported him to the sketch location in the first place.

And that's as far as my memory will take it. I can't remember what the sketch was, what comes before or after... zip. Nada. Zilch.