Are you sure they don't mean that your level of Direct TV subscription does not include any local channels but the Direct TV box has an antenna jack so you can connect your rabbit ears (off the air; over the air; OTA antenna) and use just one remote to choose OTA (for local) versus Direct TV (for HBO, ESPN, etc.) channels?
When electromagnetic waves emitted from a transmitting antenna travel through the air, a minute electrical current is induced in any metal object the waves hit. For VHF TV the ideal antenna is a rod about three feet long. Appropriate cabling to appropriate amplifiers allows the video signals to be extracted (tuned in) and the shows viewed.
For Direct TV, the electromagnetic waves coming from a transmitting antenna on a satellite are so weak that a dish (so many square feet of area) is needed to capture enough of them and focus them onto an antenna located in the arm that extends over the front of the dish. The frequencies are such that (higher so that) the metal antenna element is only a few inches long as opposed to three feet.
It means you cannot receive HD local channels via the satellite dish and must receive them OTA (over the air) from your local providers. This requires a seperate antenna, which range from simple rabbit ears on your TV to a rooftop or attic specialty antenna.