Source, in full
A version of this phrasing is attested in English as early as the early 17th century. John Downame, in The Christian Warfare (1611), writes that Alexander's "great Soveraignty and Monarchy could not bring unto him so much joy and contentment as to restraine teares because there were no more worlds to conquer or as some have it because hearing there were many he had not yet conquered one."
Notes from Wikiquote
Some of the oldest accounts of this, as quoted by John Calvin state that on "hearing that there were other worlds, wept that he had not yet conquered one." | This may originate from Plutarch's essay On the Tranquility of Mind, part of the essays Moralia, with the opposite intended meaning: Alexander wept when he heard Anaxarchus discourse about an infinite number of worlds, and when his friends inquired what ailed him, "Is it not worthy of tears," he said, "that, when the number of worlds is infinite, we have not yet become lords of a single one?" | There are no more other worlds to conquer!
Variants
attributed as his "last words" at a few sites on the internet, but in no published sources.