Allaah said: "If you are ashamed of me, I will be ashamed of you". This is a statement is quoted very often but I am sure it is not in the Quran. I do not know the Arabic text but is it mentioned in the Hadeeth?

All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger.

We have not come across the Hadeeth with the wording that you mentioned in the question in any resource books that we have at hand, and we do not know that it has been said by the Prophet .

However, there is evidence in the Sunnah of the Prophet that whoever is shameful, Allaah is bashful of him in a manner that befits His Majesty. Indeed the Prophet said about one Companion : "As regards the other Companion, he was shy and Allaah was bashful of him (which implies not punishing him)." [Al-Bukhari and Muslim] 

Allaah Knows best.