This isn't actually a proverb; it is a quote from Leo Tolstoy's short story, The Two Brothers.
In the context of the story, two brothers come across a stone that tells them that they must steal the cubs from a she-bear and run up a mountain to find happiness. The younger brother wants to do what the stone says, but the older brother desists, telling him that "A bird in the hand is worth two in the bush."
The younger brother replies:
I have heard: "He who is afraid of the leaves must not go into the forest."
In short, he belittles the older brother's caution. This quote is believed by many to mean "If you are afraid of the little things in life, you are likely to miss the big picture, or the big catch."
Some misinterpret it as "You need to overcome your fears by facing them", but the context suggests otherwise.
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