It implies you are very confident about your action
I agree with Aardvark with everything except this, I don't think it needs an
action.
You can say this without
doing anything...
Like you've just dived onto your computer to try and find something, let's say someone else has just given you a clue to something, and they might say, "Mike, what are you doing?" and he could respond "Hold on! I am onto something....."
I'd only go as far as saying that it implies someone thinks / is confident they themselves have the ability to find something out..
But on second thought, if they have just done something and someone asks what they are doing, I suppose what you said does make sense!
So I guess what I mean is, if someone has done something then I agree, but generally the phrase doesn't mean you
have done something.
I hope this message doesn't seem as pedantic as it seems to me!