It doesn't mean to literally write about your own experiences. It means to impart your personality, desires, knowledge, etc into your work. For example, if you haven't had a romance before, you can write about how you FEEL about romance, or portray a romance that is your personal ideal. Or you can write about what you've witnessed from people around you.

Or in fantasy, you can write about goblins and elves etc but the story is about relationships and situations and emotions that you are familiar with, that mean something to you.

I think the phrase is often used as advice to people who don't know what to write, or if you find yourself foolishly trying to write what you think people want to see, instead of what YOU want to see.