This is a search engine related term. It refers to the number of times a word appears in the the text of your page in relation to other words.

For example if you well coffee machines and wish to be found in search engines under the term "espresso machine" you need to make sure that you espresso machine pages use this term frequently to ensure a high keyword density.

However, beware of over doing it. Write naturally or the search engines may thing you are trying to artificially trying to manipulate your position in their index.