Another example for the inadequacy of phrasebooks, the phrase does not simply mean "I am leaving now". The literal meaning is "(I am) going-coming", and it will be used only when you expect to return very soon (on the same day) to the place you are leaving, such as when you are leaving your workplace for lunch, or leaving your home to go to work or do shopping. It would sound very silly if, for example, you said this when (as a foreign business associate meeting Japanese managers) leaving a meeting with the intention of going home to your country.