Source, in full
"The Report of My Death," Mark Twain in Eruption, edited by Bernard De Voto (1940), pp. 252–53. In 1897, Twain was living in London where a cousin, Dr. Jim Clemens, fell ill. The newspapers, believing Twain was near death, sent reporters to investigate. Twain made his remark when the correspondent for the Evening Sun told him his death had been reported in New York, and asked what he should cable in reply. Albert Bigelow Paine, Mark Twain (1912), vol. 2, chapter 197, p. 1039, gives a slightly different version of the story, ending, "Just say the report of my death has been grossly exaggerated." Often heard "… greatly exaggerated."