All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.
The expression that you asked about is part of a long narration reported by Abu Daawood and others. Its meaning is that it is not permissible to put Allaah as an intercessor, i.e. a mediator, with a creature, as intercession is interceding for others in order to obtain a benefit or repel harm. Allaah, the Most Exalted, the Most-High, is High Above putting Him as a mediator between His Creatures. It is for this reason that the Prophet said after the above expression: "The matter with Allaah is much greater from this.", i.e. to consider Him as a mediator and intercessor between some of his Creatures.
Allaah Knows best.