At least once, but it was a hallucination. In Devil's Cherry (2nd episode of season 5), Jane imagines he's talking to his daughter Charlotte after drinking some belladonna tea, and this dialogue unfolds:
Jane: What are you hiding?
Charlotte: You tell me. You're the mentalist.
Jane: I never said I was a mentalist.
Edit: As for an example that actually happens, in Pink Champagne on Ice (season 4, episode 19), Jane talks to a magician (Jack) he used to work with, where this is said:
Jane: Last time I saw you was 16 years ago, when you opened for me in Kansas City, and for what it's worth, you don't look a day older.
Jack: Well, thank you, but you're mistaken, Patrick. It's you who opened for me.
Jane: Your memory's going.
Jack: Mentalists. Big talkers, no skills.
[And Jack is mocking Jane rather than talking about himself. He's a magician, not a mentalist.]