The Context

That comment was a little tongue-in-cheek, not meant to be taken entirely seriously.

The question was about characters who had amassed huge sums of money and ridiculously powerful magic items (which were unbalancing the game) and what to do about it. One of that lengthy answer's suggestions was, effectively, "steal their money, steal their stuff, and threaten to break their stuff." (Meaning, have NPCs do that to the wealthy PCs.)

Following that train of thought, the overall idea is, "Make them protect their stuff," which leads to the joke about building a dungeon to protect it all. It's a joke because it inverts the normal way the game is played, which often involves the PCs breaking into NPC dungeons and stealing all their stuff.

Outside of that joke, though, it's not completely preposterous: High level characters do often amass a lot of money, and in some systems they are eventually expected to develop class-appropriate strongholds with that money. Not necessarily dungeons, but not necessarily excluding them, either.

Depending on what system is involved, there may be elaborate rules to help guide the process, or it may be on the GM to improvise some rules.