A phrase is an expression of a few words, usually with some additional meaning through context or history. It is similar to a "saying", which is a sentence that is often repeated. Consider the following saying:
There's no use in crying over spilled milk.
This saying uses a metaphor to make a point. Milk that has been spilled is no longer safe to drink, and nothing can change that. It represents a loss, something that cannot be fixed or changed. To cry over spilled milk would be a waste of time, and furthermore would make you feel bad. Therefore, there is no use in crying over spilled milk, or any similar loss.
Most native speakers will have heard the saying about crying over spilled milk before. People who have heard this before will understand it is a metaphor about loss and regret. They will also have experience with the saying that adds more information. For instance, we would normally only use this to describe a small or trivial loss, so using it to describe the death of a pet or loved one would seem cruel.
If we were to shorten the saying to a few words, it would keep that meaning. If we told someone who was devastated because their football team lost they were "crying over spilled milk", it would be understood that we meant they were participating in a useless activity, even though we left out "there's no use in". We could even shorten it further, and describe the loss as "spilled milk", and it would be understood that we are asking the devastated fan to move on to more important things.
When we take a few words and assign them a complex and well-understood meaning, we have a phrase. To "cry over spilled milk" or refer to a loss as "spilled milk" is not a whole sentence or even a complete idea, but the audience is expected to understand the meaning of the phrase.