Dante never tells us what it means. In fact, the sonnet asks for possible interpretations. One such interpretation was recorded by Dante's good friend Cavalcanti who suggested that falling in love was, on the lady's part, a sad event and perhaps a prelude to her death.
Both Dante and Beatrice married other people and Beatrice died at the age of 24. Dante wrote La Vita Nuova about 2 years later. It was right about at that time when Dante was becoming interested in philosophy and politics. One theory suggests that Beatrice might have been a symbol of some secret Florentine political society but I don't know enough about that to make any sense of it. What makes the most sense to me now is that Beatrice was Dante's muse.