Whenever an intent is not recognized above your threshold, the bot will refer to 'not understood'. This is a standard bot dialog which can be found in every bot.
Just giving the user the message 'Sorry I did not understand that', can be quite short and not a great user experience. There are several ways on how to improve your user experience for the 'not understood' bot dialog:
Create a counter where, after a certain amount of times the user sees a different 'not understood' message than the first message.
Show the previous bot dialog after the 'not understood' message is shown.
A specific 'not understood' message per intent below the NLP threshold.
Create a google search for 'not understood' messages.