It's a patronising way of saying that something is very obvious. It's one of those 'famous sayings' that was never actually said, like 'Beam me up, Scotty'. In the Sherlock Holmes detective novels by Sir Arthur Conan Doyle, Holmes has a slightly slower-witted companion called Dr Watson, who is frequently amazed by Holmes deductive abilities. The nearest thing in any of the novels to that famous misquote is "'Remarkable', said I. 'Elementary', said he."
There is also the related joke about Holmes and Watson returning home to find the front door has been painted yellow. Watson cries 'The door's been painted yellow!', to which Holmes replies 'Lemon entry, my dear Watson!'
There is also the related joke about Holmes and Watson returning home to find the front door has been painted yellow. Watson cries 'The door's been painted yellow!', to which Holmes replies 'Lemon entry, my dear Watson!'