So if we know it "all," all there is to know in the world, we will still be empty inside, and living in the ego's sense of scarcity and lack - the Logion says "completely lacking." The key thing of course is that Jesus makes this statement because, as long as we consider ourselves "rich" in terms of the world, be it knowledge, relationships, possessions, etc., we will not be motivated to change our mind at all. We are then stuck, clinging to the things of the world. So the first step towards getting ready to seek "another way" which Jesus offers, is to realize the emptiness inside, and that the world really had nothing to offer. So this saying and others like it, could be the first step.
The riches of the world are really best summed up in the old Tom Lehrer song, "Smut" when he sings "More, more, more and still not satisfied," for any amount of what the world has to offer still leaves that gaping hole of emptiness inside.
And here is how A Course in Miracles expresses this mutual exclusivity of the world and the Kingdom:
Son of God, be not content with nothing! What is not real cannot be seen and has no value. God could not offer His Son what has no value, nor could His Son receive it. You were redeemed the instant you thought you had deserted Him. Everything you made has never been, and is invisible because the Holy Spirit does not see it. Yet what He does see is yours to behold, and through His vision your perception is healed. You have made invisible the only truth that this world holds. Valuing nothing, you have sought nothing. By making nothing real to you, you have seen it. But it is not there. And Christ is invisible to you because of what you have made visible to yourself. (ACIM:T-12.VIII.6)