In front of the train station, when Magneto is turning the guns of the police against themselves, Magneto says, "I don't think I can stop all of them." This implies that Magneto is doing both the shooting and holding back the bullets. This doesn't make sense.
My conclusion is that the line was given to the wrong person to say. It was supposed to be Jean Gray's line, it was her who used her telekinesis to stop the first bullet but believed herself unable to stop all of them.