Why: neither the gods nor the great sages know Krishna's origin, since he is the source of the gods and great sages themselves, describing something whose origin can't be traced by anything that came after it.

In life: some foundational things in your own life, your basic temperament, your family's earliest history, are genuinely difficult to trace back to a clean, single origin point.

Teaching: make peace with not being able to fully trace the origin of some foundational things about yourself, that's not a gap in your self-knowledge, it's the actual nature of foundational things.