I think what they must be referring to is the fact that particles are only rigorously defined in the free theory. When coupling is introduced, how the free theory relates to the coupled theory depends on heuristic/formal assumptions.

We're leaving my area of understanding, but I believe Haag's theorem shows that the naïve approach, where the interacting and free theories share a Hilbert space, completely fails -- even stronger than that, _no_ Hilbert space could even support an interacting QFT (in the ways required by scattering theory). This is a pretty strong argument against the existence of particles except as asymptotic approximations.

Since we don't have consensus on a well-defined, non-perturbative gauge theory, mathematically speaking it's difficult to make any firm statements about what states "exist" in absolute. (I'm certain that people working on the various flavours of non-perturbative (but still heuristic) QFT -- like lattice QFT -- would have more insights about the internal structure of non-asymptotic interactions.)