Let $(x',y')$ be the point of intersection, then the equation of the polar line (i.e. the chord in this case) is
$$\frac{x'x}{a^2}+\frac{y'y}{b^2}=1 \tag{1}$$
End points of the chord:
$$(a\cos \phi,b\sin \phi) \: \text{ and } \: (-a\sin \phi,b\cos \phi)$$
Hence the equation of the chord is
\begin{align*}
\frac{y-b\sin \phi}{x-a\cos \phi} &=
\frac{b\sin \phi-b\cos \phi}{a\cos \phi+a\sin \phi} \\
(y-b\sin \theta)(a\cos \phi+a\sin \phi) &=
(x-a\cos \phi)(b\sin \phi-b\cos \phi) \\
b(\cos \phi-\sin \phi)x+a(\cos \phi+\sin \phi)y &=
ab(\cos^2 \phi+\sin^2 \phi) \\
\frac{(\cos \phi-\sin \phi)x}{a}+\frac{(\cos \phi+\sin \phi)y}{b} &= 1 \tag{2}
\end{align*}
Comparing $(1)$ and $(2)$,
$$\begin{pmatrix} x' \\ y' \end{pmatrix} =
\begin{pmatrix}
a(\cos \phi-\sin \phi) \\
b(\cos \phi+\sin \phi)
\end{pmatrix}$$
which lies on the ellipse
$$\frac{x^2}{2a^2}+\frac{y^2}{2b^2}=1$$