An expression term which probably originated in some 19th century war, indicating that the bullet that had just stuck you hadn't pierced anything immediately life-threatening1 and that you should go back to the front line and start giving people more serious things than flesh wounds. It's very similar to walk it off.

The term then migrated to bad cop/war/detective movies and stories, indicating a degree of macho stoicism that was part and parcel of doing one's duty.

This was, of course, used to hilarious effect in Monty Python and the Search for the Holy Grail. If you don't know where, you better see the movie.2
1You could still bleed to death, so they sometimes gave you a bandage.
2At least eight times.