Sherlock, Series 01, Episode 01, A Study in Pink
Dr John Watson: Who are you? What do you do?
Sherlock Holmes: What do you think?
Dr John Watson: I'd say private detective...
Sherlock Holmes: But?
Dr John Watson: But the police don't consult private detectives.
Sherlock Holmes: I'm a consulting detective. The only one in the world - I invented the job.
Dr John Watson: What does that mean?
Sherlock Holmes: It means when the police are out of their depth - which is always - they consult me.
to be out of your depth: to be involved in a situation or activity which is difficult for you to understand or deal with