A
corruption of the saying, "To each, his
zone."
Simply referring to the fact that
people need their personal space.
For example, my friend and I are listening to some
guy just blabber on and on about his own
little world. We look at each other puzzled and I say, "
Well, to each his zone." Simply due to sounding the same, this has been altered by some to "To each his own".
Similar to the idea of someone's "own little world". I could just as easily say, "Man, he just lives in his own little world." It would have the same meaning.