It's usually said when gently patting someone and comforting them. Here is an example of a situation when this can be used: your friend is really upset that their pet cat died. They tell you the news and burst into tears. You give them a hug and gently pat them on the back, saying "There, there, don't cry".

It doesn't really mean anything. It's just something that someone says to let someone know that they're there when they're comforting someone.