This French expression refers to an important rule in board play: the "touch move" rule, which requires you to make a move with a piece you've touched. This means you should always think before you act to avoid an awkward situation that might ruin your game!
When players aren't intending to make a move with a piece, but are simply moving it to the center of the square to clear things up, they say "j'adoube," indicating "I adjust," making it clear they weren't intending to make a move with the piece.
No matter how catastrophic the consequences may be, you must move the object you first touched. This is to ensure that you cannot induce facial expressions or other responses from your opponent. Depending on the severity of the event, you may be penalized by the arbitrator.
There is a second aspect to the touch move rule: your move is not complete until you let the piece go, meaning you may change it back to a different square if it's an uninterrupted movement.
Even the best players in the world may violate the touch move rule. This game would have gone quite different if Magnus Carlsen had remembered the details. He immediately resigned from the game.
What is en passant in chess?
In online games, the touch move rule does not apply, so that's one of the many ways your chess life is simpler when you're not playing over the board. However, writing "j'adoube" in the middle of your game in the chat might be a source of displeasure.