To directly answer your question, that message comes from the client. The server simply records whatever message the client sent before disconnecting.
I had the exact same message in my log files this morning. The IP address belongs to Georgia Tech. On my server, they didn't try to login or do anything malicious. They just connected and then disconnected leaving that message.
I'm going to go out on a limb and say it was probably some students at Georgia Tech using code from a libssh2 example for laughs. See http://www.libssh2.org/examples/ssh2_agent.html, search for "Normal Shutdown, Thank you for playing" to see where a custom disconnect message could be easily inserted.