That is a very famous phrase in English. It is used as an example of a question that can't be answered and so should not be worried about.
Think about it: Where does a chicken come from? An egg. Where does an egg come from? A chicken. So which came into the world first: the chicken or the egg? If you answer chicken, then there must have been an egg from which the chicken came. But if you answer egg, then there must have been a chicken from which the egg came. There is no correct answer. Now your brain hurts. :)