It means I love you, no matter what.
Oliver: You think you know who Malcolm Merlyn is, but there are things I discovered years ago, recently that... he doesn't love you, Thea, because he's not capable of it.
Thea: Ollie, please. Don't. Don't make me choose between my father and my brother.
Oliver: I won't make you choose. You're my family and there's nothing I won't do to protect you.
Thea: What does that mean?
Oliver: It means I love you, no matter what.