I feel as though the meaning is not clear, but perhaps simply to conclude a point made about something. It is a pretty ambiguous phrase that can be used in a variety of contexts. 

Some examples: 

"Annie even got up at 8am to help him move across town. Considering she is not a morning person, that's saying something." 

"Joe is always so positive about everything, that really says something about his character." 

"John apologized to her even though he did nothing wrong, and that says something." 

It could mean, it’s giving a suggestion, passing a message across, providing a hint, clue and so on.