Presumivelmente, ter boas conversas longas com outras pessoas
Esta é a citação completa do que Gandalf diz:
'I am with you at present,' said Gandalf, 'but soon I shall not be. I am not coming to the Shire. You must settle its affairs yourselves; that is what you have been trained for. Do you not yet understand? My time is over: it is no longer my task to set things to rights, nor to help folk to do so. And as for you, my dear friends, you will need no help. You are grown up now. Grown indeed very high; among the great you are, and I have no longer any fear at all for any of you.
'But if you would know, I am turning aside soon. I am going to have a long talk with Bombadil: such a talk as I have not had in all my time. He is a moss-gatherer, and I have been a stone doomed to rolling. But my rolling days are ending, and now we shall have much to say to one another.'
The Lord of the Rings: The Return of the King
(Ênfase minha) Gandalf não tinha outro negócio ajudando nos assuntos das pessoas, então o que mais poderia ele economizar, talvez conversar com outras pessoas, relembrando os velhos tempos.
Ele faz exatamente isso antes de sua conversa com Bombadil:
Here now for seven days they tarried, for the time was at hand for another parting which they were loth to make. Soon Celeborn and Galadriel and their folk would turn eastward, and so pass by the Redhorn Gate and down the Dimrill Stair to the Silverlode and to their own country. They had journeyed thus far by the west-ways, for they had much to speak of with Elrond and with Gandalf, and here they lingered still in converse with their friends. Often long after the hobbits were wrapped in sleep they would sit together under the stars, recalling the ages that were gone and all their joys and labours in the world, or holding council, concerning the days to come. If any wanderer had chanced to pass, little would he have seen or heard, and it would have seemed to him only that he saw grey figures, carved in stone, memorials of forgotten things now lost in unpeopled lands. For they did not move or speak with mouth, looking from mind to mind; and only their shining eyes stirred and kindled as their thoughts went to and fro.
Não é exagero dizer que ele se encontrou com outros povos Élficos, talvez Círdan e seu companheiro Istari Radagast, para falar sobre o que era na Terra-média.
Visitando o Condado
Nós sabemos em um ponto antes do final que Gandalf visita o Condado para convidar Merry e Pippin para os Portos. (Obrigado @Galastel nos comentários)
'You tried to give us the slip once before and failed, Frodo.' he said. 'This time you have nearly succeeded, but you have failed again. It was not Sam, though, that gave you away this time, but Gandalf himself!'
'Yes,' said Gandalf, 'for it will be better to ride back three together 'than one alone. Well, here at last, dear friends, on the shores of the Sea comes the end of our fellowship in Middle-earth. Go in peace! I will not say: do not weep; for not all tears are an evil.'
Ou apenas uma última olhada na Terra-média
Ele está voltando para Valinor e nunca saberemos se ele voltará à Terra-média novamente. Depois de mais de mil anos na terra, ele pode apenas querer andar pelo campo, imaginando o que teria acontecido com a terra se Sauron tivesse vencido, ou pensando em seus trabalhos ao longo dos anos. Nós não saberíamos.