The idea behind "immutable" is covered in full under Immutability, which explains how blockchains make records hard to change and the limits of that protection. This page gives a short definition and clears up a common naming confusion.
Something is immutable when it cannot be altered after it has been created. On a blockchain, each block contains a cryptographic hash of the one before, so changing an old transaction would change every later block, and the network would reject it unless an attacker controlled most of its computing power or stake. In practice, immutability is strong rather than absolute: short chain reorganizations can replace recent blocks, and communities have occasionally rewritten history through a hard fork. Smart contracts are often described as immutable too, because their code cannot be edited once deployed, unless they were built to be upgradable.
The word should not be confused with Immutable (IMX), a company and token connected with a gaming-focused network formerly known as Immutable X. That project takes its name from the concept, but it is a specific crypto asset with its own market, whereas "immutable" in glossaries simply describes a property of data, as in an immutable transaction.