It's a peculiar sentence, and the person above is correct. I would add that it can also be an outburst, as if the event that has happened, shouldn't have happened in the first place. 'I thought you should know what I did' 'I shouldn't need to know, as it shouldn't have happened in the first place!' That example might be more confusing that I had wanted it to be.

It means that either the person thinks that what they want to know is not their business so they shouldn't need to know it or they think they should already know that so they shouldn't need to know it now, depending on the context.