This is bang on. One of the greatest things that causes anxiety in human beings is our tendency to presume the thoughts and feelings of other people. For the most part this doesn't play out in huge ways, but if you've ever been involved in an argument that you didn't know about - you'll have felt it.
We interpret according to our internal concepts and not objectively. Minds are great like that. We also tend to distort our memories to reflect what we think happened, rather than what actually happened - because memory isn't infalliable. Your feelings and emotions play a much bigger part in cognition than you'd imagine.
So your advice here is bang on for CBT and bang on for good mental health in general. The follow up question should be 'why did I interpret what he/she said like that?' - that's a deep dive into your personal psychology that everyone should be doing regularly. Great article.