
“Please accept my resignation. I don’t care to belong to any club that will have me as a member.”
As quoted in The Groucho Letters (1967) by Arthur Sheekman. The sentiment predates Marx by 61 years, however; it likely originated with John Galsworthy in The Forsyte Saga. In Part I, Chapter II, "Old Jolyon Goes to the Opera" http://www.gutenberg.org/etext/2559, it's said of Old Jolyon that, "He naturally despised the Club that did take him." after another refused him because he was in a trade.
Variant: I sent the club a wire stating: «Please accept my resignation. I don't want to belong to any club that will accept me as a member».
Source: Groucho and Me