Its a play on the Excalipoor, which is basically a fake Excalibur so that is why they are all fake. I seriously don't think Gilgamesh could beat Squall, Cloud, Tidus, or Loto to get the real deal so he probably settled for the next best thing.

Fans speculate that Gilgamesh is actually Dimension hopping but this isn't true since he dies in FFV. he's pure fan service and as such, he's allowed to break the fourth wall and mention stuff from other games. Besides, the series has basically stated almost four different ways in which he obtained the Excalipoor in the course of the different FF's he's made cameos in.