Question: Proverb exact explanation

Hey all I am a non native English speaker. I keep hearing or reading a phrase that is "You cant have the cake and eat it too".
I understand the meaning of the proverb which means you cant have both the things or sides for yourself, but my doubt is that in real if you have cake in your hand you would eat it right? So how would someone explain it, if asked the real meaning or story behind the proverb.