Mae West was known for her controversial career, which included acting, singing and screenwriter. She actually got a late start in movies, at the age of 38. She still managed to become a sex symbol and last quite a while in the business.
Your quote fits in well with many of the other things that are attributed to West. What she is saying is simply that if you live your life fully and without regret you won’t feel like you should have lived a different way—you’ll be satisfied when you get to the end of your life.
Here’s another Mae West quote that shows how she like to stir things up:
Between two evils, I always pick the one I never tried before.
In my opinion this quote means that if you live life to the fullest, living once is enough. But if you mess it up by getting into drugs you will regret it. So live free and have fun.