I generally do that gesture if I'm intently listening and trying to process what is being said. It's also generally accompanied by leaning forward... My current T also does that (quite frankly it bothers me because we are in a tiny room and I like my space, her leaning forward makes things really tight and uncomfortable)
though I have also done it when I had a huge blemish on my chin and was really self-conscious about it...
JustShakey also has a point, she may be mirroring you or trying to bring your attention to somethign you do.