Refers to getting two kills with one shot on C.O.D. i.e. you aim at a guy with a sniper rifle and shoot, not knowing there is another person behind him. The bullet goes through the first guy and kills the second guy thereby giving you two kills with your one shot.
Guy 1: "Wait....how did we BOTH die?"
Guy 2: "The guy who shot me must've gotten collateral damage on you."