According to Osho, he uses 'Bhagwan' to declare not a personal superiority but the simple truth that there is nothing but God—godliness is our intrinsic nature. 'I am God' means pure being realized within, not a creator or miracle-worker. You are the same; when the nonessential is dropped and your true nature is known, that is God. Being God is our natural state.
He says “Bhagwan” to remind you that everyone’s true self is divine inside—it’s about knowing your own being, not magic or special powers.