I think what he means is that if you have your shares in a brokerage account, they are not actually held in YOUR name -- they're held in the brokerage's account (you can Google "street name stocks" and get some articles about this). That means it's real easy for a brokerage to lend out YOUR shares to be shorted.

The reason to have shares in a brokerage account is that it's easy to buy and sell with a click of a button.

But, you are entitled to have an actual physical certificate -- you know, an old-fashioned "stock certificate" instead. This pulls your share out of the broker's account so they can't be shorted.

However, that still doesn't stop them from naked shorting of stocks.