I am not sure what exactly the meaning of this is.

I think the meaning should be "Turn the light out when you are coming (going)".
To me nothing else makes sense but this one.
So, it’s not an idiom.It’s just a bit confusing phrase  :)

I think it implies that the last person out of a room should close it up/ turn out the lights / lock up.

it’s a way of saying, ‘please go away’