When we discuss about set theories in which everything is a set (e.g., $\sf ZFC$ and its close relatives, but also $\sf NF$ and $\sf GPK$), for something to be a set means that something exists.
More often than not, we use this when we refer to an extensional definition, e.g. "$\{x\mid x\in x\}$ is a set" or "$\{x\mid x\notin x\}$ is not a set". And more broadly, if $\varphi(x)$ is a formula, $\{x\mid\varphi(x)\}$ is or isn't a set.
What we really mean when we say that $\varphi$ defines a set, or "$\{x\mid\varphi(x)\}$ is a set", is $$\exists X\forall x(x\in X\leftrightarrow\varphi(x)).$$ Or, in other words, there is a set (or simply an object in our universe) which captures exactly all the things that have property $\varphi$.
Originally suggested by Frege, the Comprehension axiom stated that every property defines a set. But people had started poking holes in that concept, until it was fully laid to rest by Russell in his now-famous paradox: $x\notin x$ does not define a set.
To overcome this, set theories generally find some kind of way to restrict the unwieldy power of Comprehension.
- Zermelo did it by limiting $\varphi$ to formulas of the form $x\in S\land\varphi(x)$, or in a more familiar way: given a set $S$, $\{x\in S\mid\varphi(x)\}$ is a set;
- Quine did it in $\sf NF$ by requiring that $\varphi$ is stratified (the variables have a "typing" to them, so $x\in x$ and $x\notin x$ are not valid formulas anymore);
- Esser did it in $\sf GPK$ by requiring that the formula does not use the negation symbol, so $x\notin x$ is not a valid formula for Comprehension.
Some additional care is needed, though. In all of these set theories we can come up with formulas which "technically break the rules" but still define sets. For example, $x\neq x\land\exists y(y\in x\land x\in y)$ would not be permissible in $\sf ZFC$ since it is not bounded by any set $S$, the formula is also not positive, and cannot be stratified. Nevertheless, the formula clearly defines the empty set, which exists in all of these set theories.