What the quotation means is that the lives we lead, and what we put into them, are all that there is.
As a militant atheist, Sartre did not believe that there was anything else beyond the phenomenal world in which we all live. Instead, he thought that we had our lives here on earth and that was it. Outside of our lives, there is nothing—no God, no heaven, no hell, no afterlife.
What's more, as an existentialist, Sartre believed that whatever our condition, we are all completely responsible for our own lives. No matter who we are or where we live, we all bear the ultimate responsibility for our lives.
Failure to accept this responsibility involves running away from ourselves and engaging in what Sartre calls "bad faith," denying our freedom to be what we want to be.
To most people, the consequences of Sartre's ideas are pretty grim, to say the least. All alone in a godless universe, we are forced back on ourselves and our own limited resources, forced to take responsibility for our lives irrespective of the challenging conditions in which so many of us find ourselves.
No wonder, then, that the natural response of so many toward Sartre's philosophy of radical choice and freedom is one of anguish and despair. But Sartre would counter this attitude by saying that to act in this way would be a sign that the individual concerned was still not taking responsibility for their own life, was still refusing to face up to the reality of their condition.
Another common response to Sartre would be quietism, a calm acceptance of the way things are. But even this wouldn't satisfy Sartre. He would say that this attitude, like despair, involves running away from life, a life for which we are all responsible. As a committed Marxist and a supporter of a variety of left-wing, radical causes, Sartre could not countenance the idea of people not taking a stand. To him, this avoiding of commitment displayed a basic lack of what it means to be human.