If you were born in the US or Canada or a citizen by birth, you aren't an immigrant.
Many of our ancestors were immigrants for sure. But not all of our ancestors were immigrants.
Many of our ancestors were invaders, colonizers and settlers. Those aren't immigrants.
Saying we are all immigrants is a political statement. It tries to make us identify with the immigrants and pro-immigrant policies and has the benefit of masking/absolving our invader/colonizer/settler ancestors.
If you were born in the US and you think you are an immigrant, ask yourself "where did I immigrate from"? And that assertion becomes silly. "I was born in ohio". Does that mean I immigrated to the US from Ohio? It doesn't make sense.