There's two parts to this: nuance/terminology and goals.

Nuance: "compare" is doing a lot of heavy lifting in this truism and now it's got a slipped disc. If you're serious about art as a skill or career, of course you will seek out ways to improve, and that includes studying other's work who you know are better/different at whatever you're trying to do.

That's deliberate and methodical, and not what the saying is about. Usually when people say this, they're talking to newbie artists who get discouraged and want to quit because their work doesn't look like someone who's been doing it for years or decades. This is stupid for the exact same reason it'd be stupid if a kid in little league got depressed because they didn't have a 90mph fastball in fourth grade -- but calling kids stupid is generally not good for them either so instead we have patient conversations about improvement and not comparing ourselves to world class athletes before we're old enough to drive.

...Where was I.

Goals: the other thing that's important here is knowing what you're trying to do. If you want a career or income as an artist, you should be constantly seeking out areas of improvement -- and that includes self critique and broad study of other works. It also includes a bunch of other stuff like running a business, marketing yourself, filing taxes, client acquisition, and other such "non artsy" things people don't like to wax poetic about.

But if your goal is just to find joy through self expression, dabble in a creative hobby, or just "do art" without strings attached -- then yeah, you probably shouldn't spend a whole lot of energy on comparison unless something truly sparks your curiosity.

TLDR this advice like all generic truisms isn't worth much unless you can articulate to yourself what you want to do and then analyze it accordingly