it is a very polite way to say see you so we never say this to friends in everyday conversation. But we use this in more official situation, like in work place. It is used to let people know that you are going elsewhere.

Before learning this sentence, you should learn another sentence. That is "行ってきます". We indignant Japanese say this when we leave our home place. For example, kids say this to their moms before they leave their home to schools. And in formal, polite situations, we change words. If you want say "行ってきます" in formal place, that changes into "行ってまいります". Actually I said that to my boss when I leave my work office for business trip.