This statement refers to the calends, the first day of the month which was a feature of the Roman calendar, but the Greeks had no calends!
The calends was the day that interest on borrowed money was to be paid, so for Roman debtors, they were tristes calendae, "the unhappy calends".
In the Roman calendar, the Calends meant the first day of the month. Since the Greeks did not have this term, the expression was used by the Romans to designate an event that would never occur.
Discussed in Suetonius' Lives of the Caesars: Augustus, chapter 87, section 1; in which Ad Calendas Graecas was explained to mean that the next day after never. Since the Greeks used no Kalends in their reckoning of time, the phrase was used about anything that could never take place.
Another Latin proverb with the same meaning: Paulo post futurum or "A little after the future."
An old English proverb that is similar says, "When two Sundays meet (come together)."
There is a French equivalent: "L'arrest fera donné es prochaines Calendes Grecques. C'est à dire: iamais." (from Rabelais, Gargantua) "The judgment shall be given out at the next Greek Calends, that is, never."