It means you don't have any paid job right now..

Matt's definition is interesting. It may seem overly precise, but it isn't. Right now, I'm "retired." I don't have a paid job. However, I have income from Social Security (the U.S. pension system for almost all workers), and income from money I've saved while I was working. Thus, I'm not "unemployed" because I'm not looking for work, I don't want work, and I don't need work.

(Yes, I'm lucky, and it's wonderful).

In the United States, the Bureau of Labor Statistics defines "unemployed" as follows:

"People are classified as unemployed if they do not have a job, have actively looked for work in the prior 4 weeks, and are currently available for work."

Regular people may not have such a strict definition of "unemployed", but "unemployed" definitely means a person wants a job also.  For example, if a mother does not have a job because she wants to be at home to raise her children, she would not be described as "unemployed" because she does not want a job.