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.
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