Yes. Literally, it means you have almost, but not quite, won an imaginary contest in which the prize is a cigar. I'm sure it started out as a quote, but it's used in a generic manner now 'you have done well but not enough to consider it a success'

it means almost or so close but not successful in the end. For example, while walking up the stairs, you almost trip but managed to keep your balance. One can say "Close, but no cigar".