Your Bluesky client does not implement or support private posts. You are seeing this message as a fallback, which is shown for clients who don't implement such feature.
Private posts is an experimental feature for third-party Bluesky clients built on top of ATProto spaces (aka permissioned data), a proposed protocol feature.
Using this feature, you can make posts that are visible to a select group of people, such as your friends or mutuals or an existing list. Your private posts always stay private in your repository and are only shared with apps you choose to share them with - such as our own AppView for private posts, entirely independent and separate from Bluesky, i.e. the thing that serves private posts.