Hi and welcome! It probably means to feel and express your feelings, but it's best to ask for clarification from your therapist. It's always ok to say to your therapist that you don't understand what they just said or asked. I do it. I'll say, "What do you mean by that?"
Sometimes when I talk about difficult things, I avoid talking about what I am feeling or even avoid acknowledging those feelings inside me. It's as if I'm reporting events, and not living events. My therapist reminds me by asking what I am feeling.