People use the expression "what ___ has to say" when there's an argument. The words that someone "has to say" are usually an excuse, an apology, an explanation for why they did something, etc.

All of these examples would be used in an argument:

I don't care what he has to say. I'm finished with him!

Is that all you have to say for yourself?

Don't interrupt! Just listen to what I have to say.

Be careful not to misinterpret this phrase: usually "has to" means "must". For example:

He has to pass this test or else he'll fail the class.

But in "what ___ has to say". the words "has" and "to" are separate. Think of it like this:

what he has | to say