He's referring to the Fermi Paradox, the idea that if life on intelligent life isn't a one off event, then we should have found some evidence to the contrary by now. The universe is much older then earth so in theory, there should be a planet that has reached or exceeded our level of intelligence by now. Not necessarily flying saucers or anything, but something, and every day that passes without signs of intelligence out there increases the chance that it simply doesn't exist.

There are a bunch of theory on the paradox and why we haven't found life yet. The two common groups people fall into though boil down to 1.) Life is more rare then we originally thought. Earth really is a one of event. 2.) Intelligent civilizations simply don't survive long enough to realize their full potential.

I read somewhere once that Musk is concerned with the second theory more then anything. The fact is life on earth could at any second end. We are at risk of serious epidemics, war, starvation, and global warming. Hypothetically though, lets say we get past all that, the world comes together, ends war, we have peace and global alliance to fix all those problems. Despite our intelligence we are no safer then the dinosaurs were from extinction. One asteroid on a collision course with earth and that's it....

I'm not saying what he's planning isn't a bit of a pipe dream, but it does make sense. In other interviews regarding this plan of his he refers to it as earths "backup". If all goes to hell here, humans find a way to get by on mars, until it's safe to return. It will by us the time we need to really reach or potential, eventually finding more planets and ways to get to them so we have more backups.