Thinly Traded or illiquid is an asset that is traded infrequently and/or in low volumes. These kinds of securities are usually traded in small batches and they are usually subject to substantial changes in price. Their prices are volatile because a small change in demand can have a large impact on the price.
Additional meaning of Thinly Traded:
Thinly-traded bonds or stocks may be difficult to sell in a downturn as they often have a limited number of interested buyers.