|By Frederic Dorr Steele|
This quote points to the fact that Holmes is intuitive (the N) in INTP. There are many references to his instinct and intuition throughout the stories and events that are evidence of it. For more on Holmes' intuition, see the links below.
The fact that Holmes can "always conceive alternate explanations" to the one he already came up with shows that he is a P (perceiving). The official Myers-Briggs website describes the perceiving function thus: "in type language perceiving means 'preferring to take in information.'" The site states that the following statement is the sort of thing a perceiver might identify with, "Sometimes I stay open to new information so long I miss making decisions when they are needed" (The Myers & Briggs Foundation: Judging or Perceiving). Notice how similar this is to Holmes' own statement. He declares that his ability to come up with new explanations is a drawback of the active mind.
Quote from the book:
The Problem of Thor Bridge, in The Complete Sherlock Holmes, vol. II. By Sir Arthur Conan Doyle. Doubleday & Co, Inc. Garden City, New York. 1930.
For a description of the INTP personality type:
Typelogic INTP profile
For a fuller analysis of Sherlock Holmes' (of BBC's Sherlock) personality type, you might enjoy:
Thinker Intuitor Sensor Feeler: Sherlock's Myers-Briggs Type