Right, almost exactly. This phrase has basically the same meaning as: "That's an understatement."

JIM: Hey Bob.
BOB: Hey Jim. How have you been?
JIM: I'm doing well. I just got out of prison.
BOB: Prison!? That's no fun.
JIM: You can say THAT again!

(Stress must be on "that" because without it, it would sound like a very odd instruction. Hehe.)