They explained this in the Inside the Episode segment. It's a callback to season 1 when Ned tells Arya that she will marry a high lord and rule his castle, and she responds, "That's not me." So "That's not you" is referring to Arya's suggestion that Nymeria come home with her and become a domesticated pet. Nymeria rejected the offer and chose to be free, and Arya came to respect that decision. Personally, it makes me appreciate the scene even more.