People post this quote all the time, but he never actually said that. It's a misinterpretation of one of his stories where the "temporarily embarrassed millionares" are people that voted to have a socialist society thinking that everyone would become wealthy, but in reality everyone became poor except for people in the government. They consider themselves temporarily embarrassed because they believed that giving the government full control of their lives would be better than capitalism, and they don't want to admit that they were all naive.