Yes, @newauto is kinda right, but White may not always follow up with h3 and g4 after Bg4. White may continue developing, and your bishop is not doing anything. On the other hand, if Bg6, your bishop is much better than White's knight on the edge.
First, White's knight will trade itself for the bishop on g6, so the bishop isn't going to better than the knight (the doubled pawns might be helpful though). Second, Bg4 gives long term pressure and a pin on the e2 Qd1 squares, which will make it hard to develop without playing h3 g4 or f3, both which are weakening (f3 might be the better option in the spirit of some jobava lines). Since white played Nc3, White's queen can't develop to c2, and Bf4 or Bg5 with Qd2 0-0-0 lines get hit with c5 or b5 and a queenside attack. It is often better to complicate the position if it allows your opponent to make more inaccuracies and keeps your side easier to play, which can be crucial for a long-term pressure and hopefully a win. Bg4 strives to do this.
It should be noted that Bd7 is also a good move, but it is a little less ambitious and a lot more solid, which might make it harder to win the game for either side.
Nh5 is not a good move. Moving your bishop back to any square is good. Be4 is not very good for three reasons:
1. it violates the principle "bishops work best from far away"
2. white can easily trade off the bishop for a knight and white has the bishop pair.
3. white can easily attack the bishop and make it more than once if not traded.