The original version goes "All models are wrong, but some are useful" but I think "not true" is more in the spirit of the idea. It was originally said in a 1978 paper by Statistician George Box. It's (I think) a slightly more specific and clearer expression of the map-territory distinction. It's hard to express how profound this notion is. We build our lives, our decisions, and ourselves out of propositional claims about the state of the world; past, present, and future. If you're going to do anything it's going to be based (consciously or not) on some notion of how the world operates and the expected outcome of that action. We use models to take the unfathomable complexity of the world and compress it down into something the three pounds of grey matter in our skulls can act on.

This is necessary. There is no mind without assumptions about the world. But you run into problems when you forget what models are and how they came into being. Models happen because brains can recognize patterns and sufficiently robust patterns are describable in formal, linguistic fashion. When these models are extremely robust across a lot of peoples experience they get names like the Laws of Thermodynamics, Newton's Laws of Motion, or Supply and Demand. Every one of these was arrived at through observation. One of them has since been dismissed by the same. Newton's Laws have been supplanted by Einstein's relativity. Newton was wrong about how gravity works. His law of gravity is still better known because it's easier to understand and a good enough generalization for most circumstances.

For all of the apparent skepticism in the first part of the phrase it's just as important to hold on to the second half. Just because something is a gross oversimplification doesn't mean that it's not an improvement over pure ignorance. It can be; but models that pernicious tend to weed themselves out pretty quickly. The thing to remember: Keep your eyes on the prize. Is this model making good predictions? Is there a model that makes better predictions? Be epistemically mercenary for you should have no allegiance save the truth.