Rose's message in the season two finale of The Fall

It wasn't explained in the show in any way as this is one of the last scenes in the very last episode so far.

The most probable explanation is the one from EdChum's comment - this is a message to her family as she wasn't expecting to survive. Personally I think it was addressed especially to her husband due to two reasons:

• she might have expected him to be present during body identification
• she was aware that her past relation with Paul will be explained to her husband and she wanted to assure him that despite her romance he is the one she truly loved, etc.

Multiple other explanations are of course possible, but there is really nothing to support them, unless something is revealed in Season 3.

Edit: Season 3 doesn't provide an answer because:

Rose has no recollection of the event. However during the questioning by Stella in Episode 3 she mentions that in captivity she was thinking a lot about her family, while she doesn't mention any development of sympathetic feelings towards Paul, which seems to confirm that the message was to her husband and children and not to her kidnapper.

The message was addressed to Paul. Despite what he did to her she still loved him. She was the catalyst of his ascension into serial murder. She was able to subdue his actions while they were in college, but Paul's fall into darkness evolved beyond human limits.