It is about burying thread ends and knots when quilting. Hand quilting is done with a single strand of thread, and there are ways of making a knot and "popping" it into the batting so it is hidden.
Machine quilting sometimes involves starting and stopping somewhere in the middle of the quilt (instead of at an edge where thread ends are hidden in the binding). When this is necessary for the quilting design, some quilters like to knot the threads and bury them inside the batting, similar to the hand quilting method.
It's really more about burying knots than burying threads, but then the knots are made of thread!