The phrase means that if you do not hold the private keys to your crypto, you do not truly own it. You only own a claim against whoever does hold the keys.
On an exchange, you have an IOU. If the exchange is hacked, freezes withdrawals or goes bankrupt, your claim may be worth nothing. Holding the keys yourself removes that risk.
Self-custody means you are responsible for your own security. There is no support desk to recover a lost password, and losing your seed phrase means losing everything.
Use exchanges to buy and trade, then withdraw to a hardware wallet you control for long-term storage. This balances convenience with real ownership.
The principle is simple but profound: control the keys, or someone else controls your money.