This option opens the Export Attribute List dialog, where you can export one or several attributes of the current attribute list panel.
You can choose to export all attributes into one single text file or to choose certain attributes which should be exported. In this case, every attribute is written to a separated file.
As you can see, the Export Attribute List dialog pre-selects all the attributes which were selected in the LEX main window attribute list before.
Read all about attribute list export and the options in the Export Attribute List dialog in the manual topic Exporting Attribute List Data.
Another, faster way to export the attribute list: Open the context menu directly in the attribute list (right mouse-click) and use the option Export Attributes:
By the way, you can only use this option if you are in the attribute list.