It means that there are a number of details that we'd rather not hear about.
Think about this. Sausage is made of parts of the cow, pig, whatever, that we normally wouldn't eat. Also, imagining how sausage gets made, picturing it in your mind, is something you would rather not do (at least I don't).
Nobody that eats sausage would like to think about all the details of how it is made.