What Montag means when he says those things is that the people back in the "civilized" part of the country have no real lives. Their whole lives are illusions. This makes sense when you think about Millie's life, for example. The only things that really matter to her are the "family" inside the parlor walls. This is not real.
The line you mention shows this by using these images of things that are not real, that have no substance. Montag envisions these people eating things that can't be held, things that have no real physical presence: shadows, steam, and vapors. This is a metaphor for the unreality of what the people depend on. He is thinking that they are trying to live on things (like the families in the parlor walls) that have no real substance.
So, the whole point of this is that Montag is reflecting on how empty and unreal the lives of the people in the cities are.