[Variant:] "Please accept my resignation. I don’t care to belong to any club that will have me as a member".

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Source, in full

As quoted in The Groucho Letters (1967) edited by Arthur Sheekman (uncredited). The sentiment predates Marx by 61 years, however; it likely originated with John Galsworthy in The Forsyte Saga. In Part I, Chapter II, "Old Jolyon Goes to the Opera", it's said of Old Jolyon that, "He naturally despised the Club that did take him." after another refused him because he was in a trade.

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Quote text and notes from Wikiquote: Groucho Marx (page history), available under CC BY-SA 4.0. Source quality and labels are our own summary of what Wikiquote records.