The phrase reflects on “illegal” being an act for which you are punished by a court or regulatory authority. There is never any question that laws or regulations are actually being broken. View the phrase as exercising poetic licence and using “illegal” as a shorthand for “leading to a conviction and causing the actor to face punitive action.” The backwards logic is that I didn’t face punitive measures therefore what I did is not illegal.

Thus in your example robbing the bank is technically illegal but you aren’t going to court if you don’t get caught.