In The World Is Not Enough there is a scene where Electra King, against Bond's warnings, visits Zukovsky's casino and loses 1 million dollars against him in a simple game of cards (on purpose as we learn later). On their way out of the casino there is the following dialogue:

Electra: Shall we?

James: Electra, this is a game I can't afford to play.

Electra: I know.

Now I don't really think he's talking about the actual game they just played, even in light of the high amount of money she just lost, which he probably indeed can't literally afford.

But until that moment there are already some conflicts between the two. On the one hand Bond wants to protect her and keep her out of danger while Electra doesn't pay attention to his warnings and brings herself in danger. On the other hand Electra constantly tries to seduce him, while he, being her bodyguard, wants to keep it professional and withstand her, and, even more than that, doesn't really know if he can trust her (and in fact after this casino visit her seduction attempts are indeed successful).

But even in light (or because?) of those conflicts and tension, I'm not really sure what to make of this particular dialogue between the two. He could be referring to her seduction attempts, but during that specific scene Electra doesn't really make one of those obvious seduction attempts she tried before (at least not to my notice, but I could just be blind to subtext ;)). So what is the meaning of this conversation and what really is the game James can't afford to play?