I'm not sure where this saying comes from, though Wiki tells me the UK. But it makes no damn sense. Even if taken as originally intended ("You can't keep your cake and eat it"/"You can't eat your cake and keep it") it's completely illogical, or at least impractical. Why would you want to KEEP a cake, but not eat it? Isn't the point of having a cake to eat it? Maybe not the whole thing, you're probably going to share it around or whatever. But really, what are you going to do with a stale/off cake?
Seriously, proverbs, you can do better...