The significance could vary. It might imply a sense of moral or ethical judgment. If in a fictional context, it could mean that the characters' actions are being overseen by some higher power, like the gods in mythology. This can add a layer of tension and consequence to the story.
Well, 'gods will be watching story' could suggest that there is an element of fate or predestination involved. The gods watching might mean that the events in the story are not just random, but are part of some grand design. It also gives the idea that the characters should be cautious of their actions as they are being observed from a higher realm.