It was a satirical and highly sarcastic comment about what to do to avoid being cheated on by your mistress. The result, of course, is that even if you lock her up, she’ll bribe the guards. Hence: “Who watches the watchmen?”

It’s hyperbole to the greatest extent: It was probably never meant to be taken seriously. It’s essentially a figure of speech.

One translation reads:

I hear your cautious Counsel, you wou'd say▪
Keep close your Women, under Lock and Key: But, who shall keep those Keepers▪ Women, nurst
In Craft, begin with those, and Bribe 'em first.
The Sex is turn'd all Whore; they Love the Game▪
And Mistresses, and Maids, are both the same.

Personally, I like this one, which is a lot more clear:

“... Oh, I know
the advice my old friends would give, on every occasion —
'Lock her up and bar the doors.' But who is to stand guard
over the guards themselves? They get paid in common coin
to forget their mistress's sex-life: both hide the same offence.
Any shrewd wife, planning ahead, will first turn the heat on them.”

• Juvenal, Satire VI, O29-O34
  Source: TV Tropes
  Yes, I know that TV Tropes isn’t the best source.