What does it mean to say a penny is a lot of money if you don't have a penny?

It is meant to be a lesson of sorts. Basically, you don't know the value of something until you don't have it anymore. Thus, a penny, something most people consider to be rubbish or of little monetary value, can be a lot of you don't have any money. This saying can be applied to all aspects of life, not just a literal penny.