Source, in full
. According to urban legend, while interviewing Marion and Charlotte Story for a 1950 episode of You Bet Your Life, Marx uttered the phrase in response to Charlotte, who had mothered 20 children with her husband, saying how much she loved her husband. According to surviving recordings of the episode in question, Marx actually said "With each new kid, do you go around passing out cigars?" Although episodes of You Bet Your Life were known to be edited for content, Marx himself denied ever saying the more risqué phrase.
Notes from Wikiquote
In another known episode with a child who was among 17 siblings, Groucho asked the girl what her father thought of having such a large family; when she responded that her father loves children, he replied "Well, I like pancakes, but I haven't got a closet full of them!" A conflation of this exchange with that of the Story family may have been the source of the more ribald misquotation.