This is a pun on "burn the candle on both ends" and "bright". "Burn the candle on both ends" is an idiom that means to exhaust yourself by overworking. That is not a very wise, or "bright" thing to do. "Bright" also means a shining light, which is what you create when you burn a candle. If you literally try to burn a candle on both ends, that is not very wise, or "bright", because you can only light a candle on the side with the wick. The candle won't be as bright as a not-so-bright person would think it would be.  
If you burn the candle on both ends , you’re not as bright as you think .