While not the best known phrase for crypto enthusiasts, it is fairly common. For the most part, people use it to mean they can do away with traditional banking and do everything themselves. After reading an article on Reddit, it took on a new meaning. I never really put the phrase together with security until this. Here is part of the  comment from u/Yodel_And_Hodl_Mode, for context, they explain how to use a hardware wallet before saying this:

If any of what I just said is too complicated, don't buy crypto. Owning crypto means being your own bank. That means your security is your job. If that's too complicated, don't buy crypto.

It put crypto in a whole new light.  Traditional banks have actual safes, armed guards, and spend millions on cyber security. One of the main reasons we use them is because of the security they employ. If you are looking to do away with the middle man and be your own bank, you better be secure in your ability to keep what you have safe. 

In general, if you want to just ignore what banks spent literally thousands of years building as their trademark, "Keeping Your Money Safe," and not spend some time making sure your crypto is secure, be prepared to lose some of your own money.