Colin Kaepernick just arrived at NFL headquarters in NYC flanked by his high-powered legal team ready to grill Roger Goodell like a cheeseburger ... and he had a message for his supporters.
"I'm doing great," Colin said on his way with with attorneys Mark Geragos and Ben Meiselas.
"I love y'all and we gonna keep going!" he added.
Our NFL sources tell us ... Colin and the team are at HQ to depose Goodell as part of Colin's collusion case against the NFL -- in which he claims league officials like Goodell conspired with team owners to blackball him because of his kneeling protest during the national anthem.