Does Mitt Romney really think we are dumb enough to fall for this one? If a quote like the one he's attributing to the President seems off the wall, it's because the context is missing. What the "that" means is obvious from what precedes and follows it.
Kevin Drum says it well here:
http://www.motherjones.com/kevin-drum/2012/07/no-obama-isnt-taking-credit-building-your-business