Yes, that's what it means. Any club that would let him in had too open an entry policy for his liking. It's a joke, along the lines of the well-known line by Groucho Marx, "I wouldn't join any club that would have me as a member", or words to that effect.
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WildblueThank you, GPY for your informative reply. Is some kind of humbleness intended by Marx?No, I wouldn't say humbleness. More the opposite, if anything. However, people may interpret it differently, as basically it's just a humorous self-defeating idea.