This sentence presumes that “she” is engaging in something which could have negative consequences for her emotions. It means she is doing something that is risky and she could get hurt emotionally. The speaker does not understand why she is putting herself at risk in this way. In traditional risk taking, there is some reward that is hoped for that makes taking the risk worthwhile for the risk-taker. She will take the risk for a possible reward. However, in this case the speaker believes that she does not know what the reward would be and hence believes the action is foolish.