As this is a very common phrase in metaphysics, we will attempt to explain it here.

Our consciousness creates form. When you think a thought, the thought becomes a belief when you keep sustaining that thought. Your beliefs then sustains the reality that you are in.

For example, many people find themselves struggling financially and they ask why they could not manifest the money they would like to have. But you see, these people might have the limiting beliefs that he or she must work hard to obtain the money or they are not worthy or money is not good. This may be consicous or subconscious. According to the law of attraction, what you focus on, you attract and hence their limiting beliefs prevent the abundance from flowing into their life.

This thus explains why you create your own reality. That is how powerful you are as a Creator God. You are so powerful that you can even create the reality that you are powerless and everything in your reality reflects that idea to you, so as to validate your beliefs.

This is very well summed up in the following quote:

Your life is a perfect reflection of your beliefs. When you change your deepest beliefs about the world, your life changes accordingly.