That little "an" at the end of the sentence clues you in to a separable verb. It's an + gehen -- angehen -- to concern, approach, tackle, attack -- according to the nifty little Android verb app Das Verbarium. (Not free, but oh so worth it, I've been using it for years.)
So, literally, "That really doesn't concern you!"
jemanden etwas angehen means roughly "to concern someone", so das geht Sie nichts an means "that does not concern you, that is none of your business".
Similarly, Umweltschutz geht uns alle an would mean something like "protecting the environment (is something that) concerns us all" or "... is everyone's business".
I agree it has me stumped to I couldn't figure out where they got business from they to rephrase it
Das geht...an = 'That concern...' (as an objective not subjective concern, not being assigned to "you" as your action, but that abstract entity the universal "it"); I also like to think of angehen as an 'on-goings' or 'goings-about' --> 'concern for/on/about' ergo 'business' english colloquial of the term--
The rest of "Das geht... Sie wirklich nichts ...an" that concern's --really naught on/for/about you
jemanden etwas/nichts angehen is an idiom, yes.
- Was geht dich das an? "What business of yours is this? How does this concern you? How is this any of your business?"
- Das geht dich nichts an! "That's none of your business!"
- Das geht uns alle etwas an. "This concerns all of us. This is all of our business. We should all worry about this."
so how do we know which "sie" is this when listening?
Personal pronouns refer back to something that has been mentioned previously.
Have we just been talking about a woman? About a group of people? About myself?
Without context, when you hear /zi:/, it could indeed mean any of "her, them, you".