Have you talked to him at all yet?
This is normal after you ask him to do something for you--he won't talk until he finishes his task--but if this happens before you have ever talked to him, it's probably a bug.
Have you downloaded the latest patch for the game?
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"Many are my names in many countries. Mithrandir among the Elves, Tharkun to the Dwarves; Olorin I was in my youth in the West that is forgotten, in the South Incanus, in the North Gandalf; to the East I go not"
--The Two Towers
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