Yes, you did actually hear the words, “The government is the only thing we all belong to…”
First of all, they’re a little confused. We don’t belong to the government in the sense that we belong to a church and we’re sure as hell not slaves. We’re not serfs. We don’t “belong” to the government. At the end of the day, the government is little more than a necessary evil that we’re willing to bear because it’s better than anarchy. The government isn’t our daddy, our mommy, our pal, or our friend. It’s not even a voluntary association. Keep breaking any law, even an inconsequential one, and eventually somebody from the government will show up with a gun and force you to obey it.
That’s what the government really is and when you hear people describing it in a way that’s inconsistent with that, for example, by claiming that you belong to it, you can be sure that they don’t have your interests at heart.