The general statement has to do with $n$ forms on a compact $n$-dimensional manifold $M$ without boundary. It is a general fact that for such manifolds the $n$th de Rham cohomology group is $H^n_{dR}(M) = \mathbb R$. Now if $\alpha$ is an $n$-form that represents a non-zero class in $H^n_{dR}(M)$ (i.e. $\alpha$ is not exact), then every other $n$th degree cohomology class is represented by a constant multiple of $\alpha$. Now if $\mu$ is any $n$-form it is automatically closed and thus represents a class in $H^n_{dR}(M)$ and so is in the same class as $c \alpha$ for some $c \in \mathbb R$. This means that $\mu$ and $c\alpha$ differ by an exact form, so $\mu = c\alpha + d\beta$ for some $n-1$-form $\beta$.
In your specific example, $\mu = f(\theta)d\theta, \alpha = d\theta$ and $\beta = g(\theta)$.