That quote comes three-fourths of the way into Burn After Reading, and perfectly sums up everything up to that point. It comes from a CIA director to one of his subordinates, as they try to sort out what has happened so far. This is also the best line of the movie, because it shows that after the chain of vaguely connected but apparently pointless events we're made to witness, there's someone out there that's just as perplexed as we are.
CIA analyst Osbourne Cox quits his job after being demoted. His wife, who is having an affair and planning a divorce, copies a bunch of his personal and financial files onto a CD, which finds its way to the floor of a health club. The employees at this health club discover the CD and, assuming its contents are top secret information, try to blackmail Cox for money. When that fails, they try taking it to the Russian embassy.
I fear I'm making the story sound more orderly than it actually is. I could go on describing the other subplots and subsubplots, but there would be little point to that. There are many more plot threads, strangely intertwined in ways that vaguely suggest an overarching story, though there really isn't any. I think. Who knows.
The characters are interesting to watch, at least... Quirky, scheming, and kind of dumb. It's like they came up with these fleshed out ideas for characters, gave them jobs and starting positions, then let them run loose and see what happens. Brad Pitt has been in such serious roles lately that he seems a strange choice to cast as a bubbly gym instructor, but he plays the part nicely.
The movie closes with a final conversation between that CIA officer and his director, brilliantly putting the audience's thoughts into words:
"What have we learned, Palmer?Well there you have it. Was this a good movie? I don't know. It was fun, but... I really don't fucking know.
"I don't know sir."
"I don't fucking know either"