Like the others already pointed out, it means that your thinking is proof that you exist: if you didn’t exist, then who or what is doing the thinking. (Mind that it only proves your existence to yourself. No one else knows that you are thinking the same level that you yourself do.
It is also important to understand the philosophical context of the statement: you can be sure that you exist. because you think. Absolutely everything else, however, is uncertain. The world you experience might be real, or you might be a brain floating in a jar, with a group of scientists stimulating your sensory nerves to simulate a world. Literally nothing you do can tell those two scenarios apart, so you can never really know what is real. Except yourself. Not necessarily your body, or even your brain, but the mind that does the thinking must exist in order to think.
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