It's of course impossible to tell what Sanders really meant with this statement because mind-reading technology has not been invented yet.
But a reasonable interpretation is that even when his candidacy campaign will turn out to be unsuccessful, he has shown that there is a significant voter-potential for social-democratic ideas in US politics. This signals to all other politicians that adopting some of these ideas might help them to gain more votes.
Why does this make the "financial, political and media establishment" nervous? Because Sanders sees them as people who currently hold more neoconservative views than himself and would consider his social-democratic policies detrimental to their interests and/or against their political believes.
Why does Sanders consider this a "good thing"? Because even if this might not help him personally, it might help to promote some of the political ideas he considers "good things", even if they will be executed by other people and not by him personally.
But one could also interpret this statement as an association fallacy: "The establishment" is bad, therefore anything which makes them nervous is good.