It is a quotation from Episode Three of The Hitchhiker’s Guide to the Galaxy radio series by Douglas Adams.

This is a comedy, the phrase, as used there, is to signify that Dolphins are more intelligent than humans.
In the story, Earth is destroyed, the dolphins knew this was coming and left the planet.

The full quotation is:

Curiously enough, the dolphins had long known of the impending demolition of Earth and had made many attempts to alert mankind to the danger. But most of their communications were misinterpreted as amusing attempts to punch footballs, or whistle for titbits, so they eventually gave up and left the Earth by their own means – shortly before the Vogons arrived. The last ever dolphin message was misinterpreted as a surprisingly sophisticated attempt to do a double backwards somersault through a hoop, whilst whistling the ‘Star-Spangled Banner’. But, in fact, the message was this “So long and thanks for all the fish”.

Subsequently, Douglas Adams published a book with the title So Long and Thanks for all the Fish which was based upon the original series.

So, in the context of your email, it is just an attempt at humour by someone leaving.