Used to reduce the shock at the end of a story which involves a instance for which there is no proper reaction. Such as revealing an embarassing secret, or telling something to the listener that they weren't supposed to know.
Person 1: "When I was a kid, I had a uncle who touched me inappropriately."
Person 2: ".......What?"
Person 1: "W-Well, that was the dream that I had."
Boyfriend: "So I was hanging with my boys at the bar last night and-"
Girlfriend: "Bar? My mother's funeral was yesterday, and you said you couldn't get off work."
Boyfriend: "...........I mean, that was just the dream that I had."