It's an informal spoken form of "It's funny that you should say that."
As others have said, it's technically reduced to a sentence fragment - but it's understood as a full sentence. In everyday idomatic speech, it's very common to have implied words.
The person above me seems to have a right idea. "It is funny that you should say that." should be better.
I also think "It is funny that you said that" is better, because that means they already said whatever is funny. Or you can go, "That is funny, you should say that." meaning whatever she wants to say is funny and they should say it.
Does that make sense? I hope it did. I'm not good at explaining.