Does anyone else think that Frodo says this because he'd rather rely on his old friend rather than trust someone he's known for only a short while?I think Frodo had pretty well thrown in his lot with Strider, but still worried that Gandalf hadn't shown and certainly missed his guidance and wisdom. I don't know if he, like Sam, continued to harbor lingering doubts about Strider.
I think that certainly he's worried about Gandalf but also that he would feel better and safer somehow if Gandalf were with him. Maybe it's some subconcious doubt about whether Strider could stand against or evade the Black Riders?