Emotionally intelligent people are only one of two peers in communication. It could be that the "sender" is sending wrong signals without noticing. This is very often the case in intercultural exchange as habits, tonality and expression are very different.

The phrase is a good protection mechanism against such things. It prevents you from directly reacting negatively and maybe solve a message unwillingly disguised as (personal) attack by asking what was meant.

edit: got lost in my own sentence...