This is a strange but common expression. It means that you can't have everything go your way and sometimes you must make a choice. If you eat a cake, you will no longer have it (it will be gone), so you can't both have a cake and eat it. You must choose between keeping the cake or eating it. It is usually stated: "You can't have your cake and eat it too."

Exceptions to this rule are related to the display or experience of human feelings, like in /giving away a smile/, /saying a good word/. The great American singer Bob Dylan cited exactly the opposite of this way of saying in one of his early songs.