When a man tells you that, he is asking you to tell him something new about yourself other than what he already knows. That could be something about the past or something that happened in the present that he is still not aware about. On the other hand, it could mean that whatever you are telling him at the moment is something he already knows. To answer that, tell him something else that he I not aware of.
When he says that he's probably saying it sarcastically. You might have said something that he already knew so he said " tell me something I don't know" as a sarcastic remark about whatever you may have said .