Wikiquote renders it
No one dances sober, unless he is insane.
The quotation is
Nemo enim fere saltat sobrius, nisi forte insanit.
from Pro Murena vi.13, 63 BC. Cato has accused L. Murena of dancing, and Cicero replies that Murena is accused of dancing but not of activities that would be precursors to dancing. Cicero says no sane man would dance unless he is drunk, and there are no tales of Murena drinking and carousing, so therefore the accusation is scurrilous in origin.
The Yonge translation of the entire section is as follows:
Cato calls Lucius Murena a dancer. If this be imputed to him truly, it is the reproach of a violent accuser; but if falsely, it is the abuse of a scurrilous railer. Wherefore, as you are a person of such influence, you ought not, O Marcus Cato, to pick up abusive expressions out of the streets, or out of some quarrel of buffoons; you ought not rashly to call a consul of the Roman people a dancer; but to consider with what other vices besides that man must be tainted to whom that can with truth be imputed. For no man, one may almost say, ever dances when sober, unless perhaps he be a madman, nor in solitude, nor in a moderate and sober party; dancing is the last companion of prolonged feasting, of luxurious situation, and of many refinements. You charge me with that which must necessarily be the last of all vices, you say nothing of those things without which this vice absolutely cannot exist: no shameless feasting, no improper love, no carousing, no lust no extravagance is alleged; and when those things which have the name of pleasure, and which are vicious, are not found, do you think that you will find the shadow of luxury in that man in whom you cannot find the luxury itself?