This phrase describes something that you don't know much about, don't understand well, and can't even imagine clearly. For example:

The idea of waiting until you're in your late 30's to have a child seems so foreign to me.

I've been a vegetarian for so long now that the idea of eating meat seems completely foreign to me now.

This doesn't mean that these things seem like they're from a foreign country; it means that they're "foreign concepts". A foreign concept is an idea that seems strange and hard to understand.