If you mean his actual last line in the play, it is " Do not take them from me!" It shows how his priorities have changed, and his place in the world. From being a king, and proud, he is reduced to a father and a victim.
If you mean his last extended speech, it is deeply ironic. Look at the final lines:
"Oh, children, if you could understand, I would
give you so much advice; as it is, just pray
with me that you obtain a better life
than did the father who sired you."
This comes from a man whose real father tried to protect himself from his son, and who killed his own father. It also shifts the source of action: pray for change, rather than actively striking out to obtain it. He's become pious in his pain.
Oedipus embraces his punishment and is ready to leave his homeland as an exile. He can't bear to look at his children as well as the townspeople. Hence, his "blindness". HIs last speech is basically to Creon, his brother in law and his own children:
"Though I cannot behold you, I must weep
In thinking of the evil days to come,
The slights and wrongs that men will put upon you.
Where'er ye go to feast or festival,
No merrymaking will it prove for you..."
Oedipus knows that his family's future is doomed because of his own actions. The incest he committed with his own mother and the murder he committed against his father will affect his children's fate - for the worst. The Gods and the heavens are not on his family's side so the children must determine their own fate through their actions.