I am not sure who used that phrase first, but it says a good deal about sailors and the warships they sail. Most of us have seen the John Wayne movie, “In Harm’s Way.” The basic point was no matter what the odds are you have a duty to do. Admiral Torey at the end of that movie knew he had to try and stop the Japanese from breaking through to his area. He had a small force against the Yamato, bet he went against them. He knew the same was true at the beginning of the movie when his small force went after the Japanese force that attacked Pearl Harbor.

Going in harms was is not something to be taken lightly and no Sailor, Soldier, Marine, or Airman wants to do this, but they do. One person summed up this phrase better than anyone I can think of. He knew his options were limited and he knew he had little hope of surviving in the early American Navy, but he went anyway, John Paul Jones.
This whole post started because I was looking up Naval quotes and I saw one of his.

"I wish to have no Connection with any Ship that does not Sail fast for I intend to go in harm's way." He wrote this in a 16 November 1778, in a letter to le Ray de Chaumont.

He knew the odds were against him and the New United States, but he did what he knew he had to do.