It means that if they fall in love with anyone else you gotta let them go... If you 'love' them,you want them happy... right? So you must learn to let go. Usually if they 'Love' you back just as much they will come back to you because they love you which will end up making your relationship that much stronger because you know what it feels like to be without one another.
If you love something, set it free; if it comes back it is yours; if it doesn't it never was. It can mean that if you love someone that wants to leave let them go. If they come back then you know that they love you. If they don't then they never loved you and you would not want someone in your life that didn't love you.
Loving someone & being able to let go of them means you're not dependent on them being in your life. It then becomes loving them because you choose to & not because you have to. Very freeing for both parties! :)