It means that, well, in everyone's phone, they have to set up a voicemail which is the thing that says something like: "Hey you've reached Sarah sorry I can't reach the phone right now. Leave a message at the beep!"when they don't answer. So it means that they just haven't set it up.
It means that, like me, they simply haven't cared enough yet to set up their voice mail. The next time you speak to them, remind them... unless it's me, in which case I still don't care enough yet so don't bother. :-)