Depends on your perspective.
Gandalf and Radagast (and all of the Wizards) are in origin Maiar, a subcategory of the Ainur, who were created by Eru Ilúvatar (God) in the Timeless Halls before the world began. From a certain point of view, they're actually brothers; they have the same Father.
However, some of the Valar (another class of the Ainur) were considered to be related in the mind of Ilúvatar; Manwë and Melkor, for example, were considered brothers1. Since the Valar and Maiar or both the same type of creature, it's likely that some of the Maiar are also considered related. Whether Gandalf and Radagast are, or what relation may exist between them, is unknown. We just don't have enough information.
In-context, it's vastly more likely that Gandalf is simply indicating that he and Radagast are both wizards of the same order, since none of his audience know anything about his true origins.
Note than Tolkien didn't consider Gandalf to be angelic during the initial writing of The Hobbit; in 1936, Gandalf was actually a fairly bog-standard wizard. With that in mind, it's entirely possible that Tolkien actually did intend for the two to be related, but I'm unaware of any textual evidence to support the theory and, considering that "cousin" also indicates close affinity, I find it unlikely.
1 Narratively speaking, Manwë and Melkor are similar to the Christian angels Michael and Lucifer. Manwë is sort of the day-to-day manager of the affairs of the World (Eru/God having taken a hands-off approach), while Melkor (more commonly Morgoth) is the Nemesis