COLD STORAGE

"Not your keys not your crypto" - This term refers to any coins and tokens stored on exchanges.

Coins and Tokens stored on exchanges are not safe. If an exchange becomes bankrupt for example all access to the exchange is lost and therefor access to owned crypto currency. At the time of writing no exchanges are regulated and covered by any financial authority.

The solutution is to transfer any coins owned in an axchange to a personal wallet either online or offline. 

Offline is known as cold storage.

Offline is seen to be safest.

Examples of cold storage manufactures are Ledger and Trezor.

In saying the above, it has recently been said there are some security risks with Ledger. More inforation here - Ledger Security Risk