Since the theorem is one you have proved yourself, it should be included in the paper (either in the body or an appendix, depending on its importance to the main stream of argument) or it should be referenced if you already published it in another paper. If it is already in the paper, I would recommend you take the instruction of the referee at face value --- check the proof to satisfy yourself that it is correct and clear, and make any revisions you need to make to correct/clarify. Here is an example of what your response to the referee might look like:
Referee: Check the proof of Theorem 4
Agree - Minor edit: We have re-checked the proof of Theorem 4 as requested. We are satisfied that this proof is correct (though if the referee has any specific concerns we are happy to consider them further). In the course of reviewing the proof we decided to add some further clarification to aid understanding of our use of the Lehmann–Scheffé theorem (pp. 27-28).
and here is another example of what it might look like if you make no revision:
Referee: Check the proof of Theorem 4
Agree - No revision: We have re-checked the proof of Theorem 4 as requested. We are satisfied that this proof is correct (though if the referee has any specific concerns we are happy to consider them further). At present we do not propose to make any revision to this theorem, but we welcome any specific deficiencies in the proof being drawn to our attention.