The point is that Sigmund Freud supposedly saw sexual references in everything. If you are not familiar with the ideas of Freud, or with the associations people have with Freud, the quote doesn't mean much.
Freud, the father of modern psycho-analysis, became widely know for describing mental problems that people experienced using classical references and sex to explain them. Most famous is probably the Oedipus-complex, the idea that every boy essentially wants to kill his father and marry his mother. Not literally, but Freud described that the father at some point necessarily becomes a boy's competitor, and the boy idolises his mother as a woman.
Basically, Freud explained just about all of human behaviour in terms of sex. So if I smoke a big cigar, I am trying to send a message about my penis. Similarly, some people figure that even a neck tie is a phallic symbol because of where it points.
Freud's work is one thing, what people made of it was another. The quote simply states that, although thanks to Freud everybody may be thinking that every more or less phallic-shaped object is a phallic symbol and has some deeper psychological meaning, sometimes a cigar is just a cigar, in other words, sometimes there is no deeper meaning or message to things. Sometimes I smoke a cigar because I want to smoke a cigar, and not because I want to convey a message about other things.