It means that a directory is not on the same filesystem as your home directory, so files and directories can’t simply be moved from there to your trash directory in your home directory.
One option is to copy them there and delete them in their original location (which IMHO is kind of absurd - copy when deleting). The other one is to create a dedicated trash directory on that filesystem, like /opt/.Trash-1000 (1000 being your $UID) owned by you with the “sticky” bit set (very much like /tmp) to ensure only you can remove a file or directory from there.
If you use this often, it makes sense to set up that trash directory.
See also