I'm going to agree with the others that this phrase is a very bad sign.

There are some therapists who adhere to what seems to me to be a comically restrictive view of what can be told to clients, the "blank screen" approach, and I can imagine one of them saying something totally benign like, "I probably shouldn't be telling you this, but yes, I have children." In my mind, they wouldn't be doing anything "wrong," but I would wonder why they were breaking their own rules and why they were presenting it as some kind of illicit activity.

BUT...for therapists who are not of the "blank screen" variety, such a phrase can preface all kinds of inappropriate intimacies. It also fosters a we-are-breaking-the-rules atmosphere that I would find highly unnerving. Because if we shouldn't be doing this, and we are, what else shouldn't we do that we might do? That would totally freak me out and I would tell the therapist so. Or flee.