I can't tell from your question if you are referring to the short story "The Things They Carried" or to another story from the anthology of the same name; so I'll answer in reference to the story entitled "The Things They Carried." While the title does use the word "things," O'Brien uses the word loosely to advance his theme. He carefully lists specific items carried by each of the soldiers featured throughout the anthology. Those specific items not only tell the reader something about the soldiers' personalities and motivation, but more significantly, they illustrate the weighty intangible burdens that the men bear. For example, Lt. Jimmy Cross (who didn't want to be an officer) carries a flashlight and other typical gear, but O'Brien then mentions that he also carried the responsibility of leading and taking care of the men in his squad. Other soldiers carry the weight of lost relationships at home, the struggle of determining the morality of being in Vietnam, or guilt (deserved or not) about actions they have had to take during combat. The author, a veteran himself, demonstrates that these unseen burdens are the ones that the men will always carry, even when they return to the States and try to go on with their lives.
The title of this novel is very significant and well chosen. The Things They Carried details what men took with them to the Vietnam War and into battle specifically, but in less detail also talks about the things these men carried with them for the rest of their lives. You hear and read about many Vietnam vets (and Iraq/Afghanistan vets for that matter) who say they had unfinished business there, or that they left something behind.
This happens in the series of stories too. There is an overwhelming sense among the characters that they need to return, to make peace with the places and memories that haunt them. So the greater message, or one of them, may well be what the true hidden and human cost of war is, in the minds and psyches of the returning soldiers who have to somehow come to terms with what they saw and did there.