'It's not my first time in a closet'
Is that a reference to any previous movie of his?
shareNo. It's a reference to something you might find yourself doing if you're "the other man".
shareI suspect it is a reference to a similar scene in Monkey Business, in which Groucho kept slipping in and out of a closet to hide from a gangster.
shareI think it's an inside joke for him as in his younger days, he actually did hide in a closet from a jealous husband(Groucho hadn't known the woman was married until the husband came home). To read the full story, and so many others, read his autobiography, GROUCHO AND ME.
"Outside of a dog, a book is man's best friend. Inside of a dog, it's too dark to read."
Groucho