As far as I can tell, it is about the same as the difference between understand and comprehend.
It's common to add lo ("it") to entender and saber. No lo sé, no lo entiendo. DL computer translation won't want lo unless it expressly says "I don't understand it." (I've been studying Spanish long enough to be able to affirm your question but am not a native speaker.)
As Rae.F said (but forgot the negative), it means "I do not understand myself," which is profoundly human and relates to the Greek concept that our task in life is γνῶθι σεαυτόν, "know thyself." A good phrase to know in Spanish is "me explico?" = "Do I make myself clear?"