Pl-ease! That is an urban legend, a myth, an old wives’ tale and a bunch of foolishness. It’s right up there with Romy and Michele inventing Post-It notes (yes, 90's movie reference, yes).
Although the true origin of the sport is a much debated mystery, it is commonly agreed that the modern version played today was created along Scotland’s coastal area in the 15th Century. A woman, Mary Queen of Scots, is credited with popularizing the sport by introducing it to the world during her travels in the 16th Century. She would have French military cadets carry her clubs and whatever else she needed as she played. It is believed she brought this practice from France to Scotland and shortened the word “cadets” to “caddies”. In 1552 she commissioned the creation of the links at St Andrews, still considered the "home of golf" today. Mary was a trail blazer!
Now get out there and play.