Specifically, it means that more information is required to complete the task (e.g. requesting the filename for saving a file). If the action is literally about opening that dialog (e.g. something like "Show Properties"), the ellipsis is not needed.
But now I'm thinking that a need and an opportunity are very distinct. For example, browsers used to present a Save dialog during a download: was there a need for input? No, accepting the default filename works, and based on that, they no longer offer the opportunity to choose a filename. Thus, "..." indicates the opportunity, even if there is no true need.
Conversely, you might conceivably have a command that requires additional input, but where the dialog box taking the input doesn't offer the option to cancel the operation. In that case, I would consider an ellipsis misleading, even though a lack of ellipsis might be confusing as well if the command doesn't make sense without additional input.