An added note: since about 2000, AmE uses "so" to add emphasis to any locution whatsoever, whereas it used to be restricted to modifying adjectives when used for that purpose.
The person is saying that the woman no longer affects him emotionally at all. Presumably, he was in a relationship with her and was upset when it ended and now want the listener to know that this is no longer the case. Whether it's true or not is debatable.