It means their specificity (how well they cut your target sequence) doesn't just depend on the target sequence itself, but also on neighboring sequences in the genome (the sequence context).  That's often seen as bad, because you won't usually understand what the context-dependent effects are going to be.  But it can also work in your advantage sometimes. 

And, since those Designer Nucleases create double-strand breaks (DSB) on the sequences where they bind to, off-target cleavages can be generated when they bind to non-specific sites [due to lack of specificity]. If serious (when many non-specific cleavages occur), this can cause genome fragmentation and instability.

Published in the article "Revealing off-target cleavage specificities of zinc-finger nucleases by in vitro selection" by Nature Method, a ZFN with 31 off-target sites cleavages in human cells was observed.