This is a set phrase in English which means that it's best to do things safely. If you don't stay safe, something might go wrong and then you will regret it.
Use this phrase when you or someone else is trying to decide between two choices, one of which is safer than the other.
For example, if you're deciding whether to buy insurance for a car that you're renting, you can say this after thinking about it for a few seconds:
Hmm. I guess I'll go with the complete coverage. Better safe than sorry.
"Better safe than sorry" is a very common expression that almost all English speakers are familiar with.
You can also say it as a full sentence:
It's better to be safe than sorry.