Usually followed by 'stays in Vegas' - the details events of a weekend or short amount of time a person spent out of town are suppressed. The term would usually refer to someone going by themselves or with friends for a weekend in Las Vegas, Nevada, but you could apply it to another city/town if the other person knew what you were referring to.
"Whoa you twisted your pelvis while you're away? How did that happen"
"What happens in Vegas..."