The wider conversation would make it clear.
- I'm going to study in Paris for a year.
- You're so lucky! I'm jealous.
(This is quite a nice, friendly way to use 'jealous'. A person is unlikely to say, "I am jealous" if they really feel so.)
- You're such a dedicated girlfriend. You always go to watch your boyfriend's band play every gig.
- Actually, it's just because they have a lot of female fans and I'm jealous
(Again, I can only imagine this being said half-jokingly.)
I can't imagine a situation where somebody announces, "I'm jealous" with no context at all.