When people say this, they are often talking about a statistical fact in quantum mechanics. When you’re trying to figure out what an entire system of particles does, one way to do it is by looking at the distribution of energy levels. A distribution of energy levels can be thought of as a way to describe how much extra freedom a system gains if you give it some more energy. For example if my system is at its lowest energy, there might only be one way to arrange the particles, because they each have to be at their private lowest energy state. However if I give the system a bit of energy, any of the particles might have it. If I give it some more energy, now multiple particles might each have energy, or a single one can have a lot of energy – the things the system can do grow exponentially.
If you have a quantifiable relationship between the amount of energy and how much freedom the system has, you can use some statistics to figure out on average what state all of the particles will be in over time. This allows you to derive related things, like how your system responds to extra heat being given to it, or what kind of thermal radiation it will emit.
Now is the key point – if you have two electrons, and you give them a single quantum of energy, you might think there are two states the system can be in – “electron 1 has energy” and “electron 2 has energy”. However, this turns out to give false predictions. In fact, there is a single state – “an electron has energy”. Quantum statistics, on a very deep level, does not distinguish between different electrons. If it did, very basic things like the colors we see in hot objects would just appear different.
Quantum field theory takes this one step farther, and doesn’t even treat electrons like particles – they are excitations in a field, and they are identical not because of happenstance but because they are the result of the same dynamics happening within a single object, the quantum electron field.
Does all of this mean that electrons are truly identical? Technically, they are only identical in regards to the things stated – the dynamics described by quantum mechanics/QFT and our current measurement limits. Our measurement limits are somewhat arbitrarily set by our current technology, which will improve over time, and our understanding of the relationship between quantum theory and the underlying objects it describes is currently a matter of interpretation. There’s no reason to presume electrons are different, but there are models consistent with current physics that would allow such a thing.
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