What does it mean?
That means that each iterator you obtain from a ConcurrentHashMap is designed to be used by a single thread and should not be passed around. This includes the syntactic sugar that the for-each loop provides.
What happens if I try to iterate the map with two threads at the same time?
It will work as expected if each of the threads uses it's own iterator.
What happens if I put or remove a value from the map while iterating it?
It is guaranteed that things will not break if you do this (that's part of what the "concurrent" in ConcurrentHashMap means). However, there is no guarantee that one thread will see the changes to the map that the other thread performs (without obtaining a new iterator from the map). The iterator is guaranteed to reflect the state of the map at the time of it's creation. Futher changes may be reflected in the iterator, but they do not have to be.
In conclusion, a statement like
for (Object o : someConcurrentHashMap.entrySet()) {
// ...
}
will be fine (or at least safe) almost every time you see it.