Katniss was talking about her nightmares.
Spoilers for The Hunger Games: Mockingjay - Part 2 follow below.
Just before the line in question, her baby wakes up crying, which Katniss assumes to be thanks to a nightmare. I can't remember the exact dialogue, but Katniss starts to talk about the fact that she has nightmares too, and that a good way to get rid of them is to make a list of all the good things anyone has ever done. She says to treat it like a game, and although the game is getting boring after so many years (this part of the film is obviously set at least a few years in the future given the appearance of children) that there are worse games to play (i.e. the Hunger Games). She then says that she will tell her children all about her nightmares one day, including;
...why they came. Why they're here, and why they won't ever leave...
She's saying that she still has nightmares about the Hunger Games, the Quarter Quell and the assault on The Capitol, and that they won't ever stop.