We report on the observation of terahertz radiation induced edge photogalvanic currents in graphene, which are nonlinear in intensity. The increase of the radiation intensities up to MW/cm$^2$ results in a complex nonlinear intensity dependence of the photocurrent. The nonlinearity is controlled by the back gate voltage, temperature and radiation frequency. A microscopic theory of the nonlinear edge photocurrent is developed. Comparison of the experimental data and theory demonstrates that the nonlinearity of the photocurrent is caused by the interplay of two mechanisms, i.e. by direct inter-band optical transitions and Drude-like absorption. Both photocurrents saturate at high intensities, but have different intensity dependencies and saturation intensities. The total photocurrent shows a complex sign-alternating intensity dependence. The functional behaviour of the saturation intensities and amplitudes of both kinds of photogalvanic currents depending on gate voltages, temperature, radiation frequency and polarization is in a good agreement with the developed theory.
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