"That's what she said!" is an old catchphrase. It is used as a response to an inadvertent double entendre. It is widely considered to be a cliché.
It goes back to "Said the actress to the bishop," which sounds like a good way to throw a dorky Young Person off his or her game. His or her sad, sad, game, because "That's what she said," returned to the lexicon in the mid-00s.
Having originated before the 1920s, it returned with The Office. In the UK, the character said, "Said the actress to the bishop." In the American import, clueless boss Michael Scott often said, "That's what she said!" A part of the joke was that his witty retort was hopelessly outdated.
Of course, millennials are not that bright. Say what you want, Old People, without fear of double entendres. You've earned the right for your words to go unmolested.
Said the actress to the bishop, Wikipedia
That's What She Said? Yeah, Give It A Rest, GQ
That's What She Said, Know Your Meme
The British Equivalent of "That's What She Said," Today I Found Out