。
I have nothing to do with that matter.
Literal
I [topic-は] that matter [with-と] nothing relation [subject-が] is-not.
関係がない ('to have no relation/connection') is the standard way to say 'have nothing to do with.' The thing you have no relation to is marked with と as a co-participant ('with'), not に. 何も combined with the negative means 'nothing at all.'