Well, I haven't had anyone actually tell me that before, but I've read about it. Some beginner knitter will hear it from some knitting snob who knits differently.
There are actually three styles of knitting, with untold variations between:
Continental: The continental knitter holds the yarn in the left hand, much like a crocheter would and picks up the stitches with the working needle. I can knit this way since I'm a crocheter, but I find it slows me down.
English: The English knitter holds the yarn in the right hand, sometimes sort of wrapping it around the fingers as a crocheter does. They 'throw' the yarn over the working needle to make the stitch.
Combined: The Combined knitter can either be Continental or English. It's the way they make their stitches that distinguishes them. Instead of making the purl stitch by wrapping the yarn over the top of the needle, they wrap it from the bottom. This will twist the stitch, putting the front leg of the stitch (when the work is turned to work back the other way) in the back. To keep the stitch from twisting when it is then worked, the working needle would have to be inserted in the back of the stitch. They say this prevents 'rowing out', making your stockinette stitch and ribbing look smoother.
So what am I? I use the English method of 'throwing' the yarn, but I don't wrap it around my fingers for tension. I simply hold it in my hand, along with the working needle. When I throw the yarn I let the needle go (bracing it with my left hand as I do so), wrap the yarn, grab the needle and complete the stitch. I don't notice any discernible loss of speed doing this (but I've been knitting this way for over 40 years too). If any knitting snob were to come up to me (if I were knitting in public, which I do on occasion) and tell me I was doing it wrong, I would have to then ask them:
"Does this look like (whatever stitch I'm knitting)?" "It does? Then what am I doing wrong?"
I mean, really, just because I don't hold my needles and yarn like you do doesn't mean I'm doing it wrong, it just means I'm doing it differently from you. Get. Over. It.