What does this mean? The ‘what’ is irrelevant. You can have sensory experiences that are not true to the physical world (ie. Dreams or hallucinations). Whether the experience of an apple is a hallucination, dream or lucid and conscious does not really make the experience anything other than that of an apple.
Consciousness is ‘conscious of …’. Phenomenology is not bothered about whether there is or is not an apple it is only concerned with the experience of said apple.
The ‘of what?’ question you pose was dealt with by Kant. The ‘thing in itself’ is called noumenon. There is no ‘noumenon’ though in any Positive sense only in the Negative as a limiting boundary for knowledge.
I do not have my copy of Critique of Pure Reason to give you the direct quote sadly. Maybe someone else can.
Note: Manuel above gave a simple version here:
We may postulate - sensibly in my opinion - something "behind" objects that anchors them, but this "behindness" is no more "real" than what we already experience, it's another aspect of the world, which helps us make sense of experience, as I see it. — Manuel
If you want to really get into this subject matter more intensely you will pretty much have to read Kant’s Critique of Pure Reason … but that is no easy task and will take the better part of a year at least.