Yes, it means they are in your Vault. If you go to your champions screen, you'll find a button for the vault, then you can take champions out of it. 

While they're in the vault, you can select them to use (depending on how you set the Filter settings), but you can't look at them or put gear on them, so it's not practical to have champs that you actively use in the vault. 

Or alternatively, you can click that FILTER button in the middle left of your screen and check the "include vault" optuon, that way you can quickly choose the champions that are going n your vault.