Other answers have talked about the meaning in your examples, but I just want to add that it can also literally mean what it says, that is "I was under the impression that I said something [but actually I didn't]".
For example, say I'm explaining how to set up a tent and I say, "Now do the pegs like I said." but someone replies "How's that?" so I say, "Oops, I thought I said that already. They need to go in at a 45-degree angle."
Or say I'm walking a customer through setting up some software, and they want to disable a specific feature. The menu to do that is confusing so they click the wrong option and I ask "Didn't you want to disable that?" so they say "I enabled it? I thought I said to disable it! Darn menu didn't make any sense." (And just in case it's unclear, "said" here doesn't literally mean "spoke out loud".)