They say life begins at 40 because it is usually that age when you have to stop worrying about things ... for example most children leave home when there parents are about that age, and people stop worrying about jobs and job security. It is not meant to be taken literally!
I remember hearing on the radio that the origin of this phrase may be tied in with the fact that the vestal virgins began their service at age 10 and that they had to serve for 30 years - so for them their "free" life did begin at 40.