Really I'm kinda surprised that this question was asked and that OP hadn't heard the phrase before.
My whole life I've heard the expression. On TV/movies, in music, in person. Even woman rappers have lyrics about making a man's toes curl.
Sexual stimulation makes my feel tingle, and depending on the type of stimuli my toes may or may not curl in response.
If this hasn't ever happened to anyone reading it doesn't mean you're having sex wrong, it just means your body responds differently than mine. But it is a popular phrase among people of varying ages. I've heard people older than me say it, younger too. It's just a way of saying the sex was good.
As was mentioned earlier in the thread, sometimes curling your toes is a pain response too but generally when people use it as an expression it's of pleasure/satisfaction.