*pops out of the random Thranduil & Celeborn fangirl hole* Gandalf was there the first time they went to Dol Guldur (during The Hobbit) but Thranduil wasn't (he was off dealing with dwarves, Bilbo, etc). The second and final time they went to Dol Guldur, during LotR, the leaders were just Celeborn, Galadriel, Thranduil, and Radagast - Gandalf was off in Gondor.

(Sorry if you didn't want answers from random people, but they're my fandom loves).