The meaning can be found in the preceding verses:
Revelation 2:20-23: Notwithstanding I have a few things against thee, because thou sufferest that woman Jezebel, which calleth herself a prophetess, to teach and to seduce my servants to commit fornication, and to eat things sacrificed unto idols. And I gave her space to repent of her fornication; and she repented not. Behold, I will cast her into a bed, and them that commit adultery with her into great tribulation, except they repent of their deeds. And I will kill her children with death; and all the churches shall know that I am he which searcheth the reins and hearts: and I will give unto every one of you according to your works.
'Jezebel' need not have been the woman's actual name, but calling her Jezebel harks back to the most wicked woman in the Old Testament, Queen Jezebel, supposedly famous for introducing idolatry into Israel. John portrays Jesus as so angry at this Jezebel's teachings among the Christians of Thyatira that he will put her into a bed to be raped, and then kill her children. This is, of course, all symbolism and the real issue is not adultery but that there are some who listen to her teachings.
Revelation 2:24: But unto you I say, and unto the rest in Thyatira, as many as have not this doctrine, and which have not known the depths of Satan, as they speak; I will put upon you none other burden.
Here, John is so angry that he refers to the alleged prophetess' teachings as knowing 'the depths of Satan'. Those who have not listened to these teachings will suffer none other burden.