It's the line that follows this one.
It's Groucho as Captain Spaulding in "Animal Crackers".
Here's the whole exchange:
In front of a large audience of guests in the film's most legendary and memorable scene, Captain Spaulding recounts a hilarious account of his adventurous African safari:
Spaulding: Africa is God's country, and He can have it. Well, sir, we left New York drunk and early on the morning of February 2nd. After fifteen days on the water and six on the boat, we finally arrived on the shores of Africa. We at once proceeded three hundred miles into the heart of the jungle, where I shot a polar bear. This bear was six foot seven in his stocking feet and had shoes on...
Mrs. Rittenhouse:Pardon me. Just a moment, Captain, just a moment. I always thought that polar bears lived in the frozen North.
Spaulding: Oh you did! Well, this bear was anemic and he couldn't stand the cold climate. He was a rich bear and he could afford to go away for the winter. You take care of your animals and I'll take care of mine. Frozen North, my eye! From the day of our arrival, we led an active life. The first morning saw us up at six, breakfasted, and back in bed at seven - this was our routine for the first three months. We finally got so we were back in bed at six thirty. One morning, I was sitting in front of the cabin, smoking some meat.
Mrs. Rittenhouse: Smoking some meat?
Spaulding: Yes. There wasn't a cigar store in the neighborhood. As I say, I was sitting in front of the cabin when I bagged six tigers.
Mrs. Rittenhouse: Oh, Captain!
Spaulding: Six of the biggest tigers...
Mrs. Rittenhouse: Captain, did you catch six tigers?
Spaulding: I bagged them. I...I bagged them to go away, but they hung around all afternoon. They were the most persistent tigers I've ever seen. The principal animals inhabiting the African jungle are moose, elks and Knights of Pythias. Of course, you all know what a moose is. That's big game. The first day, I shot two bucks. That was the biggest game we had. As I say, you all know what a moose is? A moose runs around on the floor, and eats cheese, and is chased by the cats. The Elks, on the other hand live up in the hills, and in the spring they come down for their annual convention. It is very interesting to watch them come to the water hole. And you should see them run when they find it is only a water hole. What they're looking for is an al-co-hole (or Elk-o-hole). One morning, I shot an elephant in my pajamas. How he got in my pajamas I don't know. Then we tried to remove the tusks...but they were embedded in so firmly that we couldn't budge them. So we took him to Alabama. Of course, in Alabama, the Tusk-a-loosa. But, uh, that's entirely irrelephant to what I was talking about. We took some pictures of the native girls, but they weren't developed, but we're going back again in a couple of weeks.
As a side note to all Freepers...interesting line about the moose eating cheese..isn't it?