Repeated twice in the movie. Early in the film, Connery warns Costner not to go after the mafia unless he is prepared to go all the way.
They pull a knife, you pull a gun. They send one of yours to the hospital, you send one of theirs to the morgue. That's the Chicago way.
Then again, at the end of the film when he's dying, Connery repeats the line to Costner, who then proceeds to do whats necessary, including bending the rules a bit, to bring down the baddies.
"Now what would you be doing with a gun?"
"I work for the Treasury Department."
"Oh. Well have a good night."
"That's it? I have a gun and you just walk away? What kind of police do you have in this town?"
"You said you worked for the Treasury Department."
"How do you know that I'm not lying?"
"Nobody would make up a lie like that."
OK Now I remember,some movies you just need to save and watch again.