I'm not really sure what people mean when they say this. I heard it again last night by a friend of mine and I puzzled a bit. Usually when someone makes this comment I find they're making an excuse for behavior that is misleading and contradictory. This is not indicative of complexity to me.
I consider myself transparent person, which means I don't try to hide or obscure the mechanics of who I am. When people say they're "complex" what do they mean? Is saying "I'm complicated" suppose to pass for self-awareness and introspection? Is it saying that I'm a deep and thoughtful person, or is is a warning that they're really self-involved?
That phrase is almost beginning to sound hackneyed like "I'm an out of the box thinker." No one really knows what that means, but nearly everyone thinks they do it.