If I had to guess, I'd say your daughter's preschool teacher is new to the profession and is under a lot of pressure from her boss and from parents to prepare the children for kindergarten. You're correct in your opinion that her comment is meaningless to a bunch of 5-year-olds who don't know what kindergarten is. The teacher is revealing her own anxiety and, in the process, is transferring that to her young students. They're getting a vague notion that kindergarten is something to fear.
Unfortunately, this is the climate at preschools today in the US. Too many of them have become just prep stations for kindergarten with kids doing a whole host of activities that aren't developmentally appropriate: writing in workbooks, keeping journals, doing math equations, sitting for outrageously long circle times, and enduring too many teacher-directed lessons. Many parents consider this “real learning” and are pleased that their kids are getting ready for elementary school. They're unaware of the research that shows preschoolers learn best through play, social interaction, and hands-on discovery.
I strongly recommend you talk to the teacher about your concerns. Tell her that you do not see your daughter's preschool year as preparation for kindergarten, but it's own unique and magical experience. She'll probably be relieved to hear that not all parents see preschool as just a means to an end.