It means that the parameter in question -- typically drain current -- does not change with temperature, zero temperature coefficient. With many FETs (not all) there is one single useful operating point, strongly specific to the actual device, where this happens.
Example:
http://www.nxp.com/acrobat_download/datasheets/BF245A-B-C_2.pdf
Look ak fig.9. At Vgs=-1V there is little variation with temperature, the zero tempco point (flat straight curve) seems to be at -1.1V or so.
Example, different way of plotting the relationship:
http://www.fairchildsemi.com/ds/2N/2N5457.pdf
See first two figures, there is a point where the three curves meet, at that point the drain current does not vary with temperature (but transconductance, normally corresponding to gain, does). If they don't meet, then there is no operating point with stable characteristics over temperature, then this is to be compensated for externally with additional circuitry (always true for bipolar transistors).
From the plots you directly derive how it is measured.
- Klaus