He took the podium to great cheering, then spoke softly to the thousands in attendance. “Friends, I shall ask you to be as quiet as possible. I don’t know whether you fully understand that I have just been shot; but it takes more than that to kill a Bull Moose. But fortunately I had my manuscript, so you see I was going to make a long speech, and there is a bullet—there is where the bullet went through—and it probably saved me from it going into my heart. The bullet is in me now, so that I cannot make a very long speech, but I will try my best.”
Roosevelt went on to speak of the importance of the Progressive movement. He said he did not know the man who shot him, but that he was a coward and that the untruths printed in newspapers, on behalf of his opponents, had incited “weak and vicious minds” to acts of violence.
“Now, friends, I am not speaking for myself at all, I give you my word, I do not care a rap about being shot; not a rap…. Friends, every good citizen ought to do everything in his or her power to prevent the coming of the day when we shall see in this country two recognized creeds fighting one another, when we shall see the creed of the ‘Havenots’ arraigned against the creed of the ‘Haves.’ When that day comes then such incidents as this to-night will be commonplace in our history.”
The story of the incident at the Past Imperfect blog at Smithsonian tells how Roosevelt's life was saved by the contents of his pocket, but also has the background of the shooter Shrank and his motive for assassination. Link