There are many different ways to reach the same outcome or destination.
This expression appears to be a modern working of a medieval expression. For example, 12th century French theologian Alain deLille wrote Mille viae ducunt homines per saecula Romam (A thousand roads lead men forever to Rome) in Liber Parabolarum. Chaucer's Treatise on the Astrolabe provides us with the earliest known English source: "Right as diverse pathes leden the folk the righte wey to Rome."
Whether the Romans used such an expression is not clear, but Emperor Caesar Augustus did erect a monument in the center of Rome known as the Miliarium Aureum (golden milestone) and many believe that all distances in the Roman empire were measured from that point. The remains of a monument engraved with the words Miliarium Aureum can been seen in the Roman Forum today, but most scholars do not believe that this is part of the original monument. What the monument looked like and what was engraved on it is also unknown. Indeed, it seems that it is not even certain that distances were measured from it, for example in his writings Pliny the Elder makes a passing reference to distances being measured from the City gates - about a mile away from where the monument is thought to have been located..
Putting all this aside, did all roads really lead to Rome?
Yes they did! At least within a significant part of the Italian Peninsula. The reason being to ensure that there was a road connecting all secondary cities to Rome but no roads connecting the cities to each other, making it more difficult for the cities to rise up in resistance against Rome. Outside of a few hundred miles from Rome, the road system forms more of a grid pattern to link regional cities - except for particularly important cities which are joined to other cities by a wheel and spoke pattern of roads - presumably for the same reasons as for Rome.
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