This statement is made by Atticus in Chapter 22 of To Kill a Mockingbird after the Tom Robinson trial has ended. Jem returns home crying, and Aunt Alexandra greets him with "I'm sorry, brother." Alexandra notices how upset Jem is, and she comments that she didn't think the trial was something for children to witness.
"This is their home, sister," said Atticus. "We've made it this way for them, they might as well learn to cope with it."
Atticus is referring to his decision to defend Tom in the first place, knowing that the family would be scrutinized for his defense of a black man against his white accuser. By allowing his children to witness the trial first-hand, it was just another way of giving his children the chance to grow up quickly in the mixed-up world around them.