I presume this phrase refers to the "The one thing I know is that I know nothing" remark attributed to Socrates? Well, one form of paradox occurs when you are simultaneously motivated to endorse a contradiction -- i.e. both accept and reject a given proposition, or assign the truth values of both true and false to it. And that seems applicable in this case. On the one hand what Socrates is asserting is that he knows nothing (after all, if he KNOWS that he knows nothing, then since knowledge usually implies truth, it follows that he knows nothing). But then again on the other hand the very assertion seems to disprove it, since he KNOWS it, and therefore knows not nothing, but something. So he simultaneously seems to be asserting that he knows something and that he does not know something. Now you may not find this particularly paradoxical -- you might be tempted to resolve it directly (by rejecting one of the two propositions). But I suppose it's called a paradox because reasonably good cases can be made for both sides of it (even if some individual believes it can be resolved).
hope that helps--