The context here afaik is not to be afraid to dream big and fail big. I.e. don't think small, follow your (big) dreams, even if they fail - then at least you tried.

What Christian said is true but it should also be noted that "fail big" is gramatically incorrect. It's a slang phrase. So use it with friends, but not in an interview. "It's okay to fail big" (Informal) "It's okay to make a big mistake" (Formal)