Removable media and devices are portable hardware. The most common is a USB flash drive but other forms could be an external hard drive or SD card.
When it comes to cyber security best practices, removable media and devices must only be plugged or inserted into your computer if you trust/know the source. For example, if you found a USB flash drive in the grass near your office, there’s a chance it wasn’t dropped there by accident but planted there. A cyber attacker would try to social engineer someone into plugging the device into a computer. Whether the intention is to find out who it belongs to or keep it, the attacker wins and could successfully execute whatever malicious software might be pre-installed on the removable media or device.
Plugging or inserting only trusted removable media or devices into your computer is the best protection against this type of attack.