Telly, if someone tells you, "She is not in my league", they might mean, "I am too good for her", but they might also mean, "She is too good for me." You can tell what they meant by their body language and by considering what they've been saying up to that moment.
Another phrase that's used is, "She is way out of your league" or "he is way out of your league" and this means "He/she is too good for you. They'd never want to be with you."