I believe he was referring to Eddie's question 'Are you a Hustler' obvious question obvious answer ... His way of saying yes you've just been hustled.
This is the way I've always understood the line.
As others have pointed out, Amos starts the gambling session by playing the pigeon-- he tells Eddie that he's been the subject of electroshock therapy and displays facial tics and twitches. He looks uncoordinated and acts like he is barely able to make a ball.
Remember that in the story, Eddie is a former world-class player. He doesn't appear to be laying down much (if at all) while he plays Amos. It is left unsaid, but the situation implies that Eddie would have given up substantial weight to Amos in their gambling match.
Eddie's pride is his downfall. He quickly senses that Amos is hustling him ("Are you a hustler, Amos?") but doubles the bet instead of pulling up. He believes that his superior skill will see him through, regardless of the spot he's giving up.
Obviously, Amos ends up with the cash and Eddie is humiliated.
With his parting shot, Amos essentially says to Eddie "You pegged me as a hustler, and you continued to play. You thought that you could outrun the nuts. Now I've got your money because you were too proud to adjust the spot, and never asked me to give up the weight that I was getting."
The line works because, as Ray said, it is a classic double entendre. Amos is overweight in the movie. In both meanings of "Do you think I need to lose weight?" it is obvious that the answer is "Yes."
Incidentally, the screenplay is written by Richard Price. Although TCOM is hardly his best work (or Scorsese's, or Newman's) he's a very accomplished writer who has authored some wonderful novels (Clockers, Freedomland, Lush Life, etc.).
Just my $0.02.
