In the biblical times people would celebrate important events killing a calf (which is a young cow) that was fatten for that purpose (fatten means to make an animal gain weight by feeding it a lot) and eating it the company of family or friends. One of those important events was the biblical episode "the returning of the prodigal son", who was not expected but very welcomed. Nowadays this sentence means to celebrate something in a big way, not matter how expensive it may be.