What he is saying is that, unlike every other Champion, Thresh does not gain Armor Per Level. He instead gets armor through his Souls passive. And like most (but not quite all) Champs, he does not gain MR per Level either.
That said, Thresh really isn't actually that tanky in terms of stats. Base 560 health is actually about middle of the road (range being 467-621) and his Hp/Level isn't that great. His level 18 health is actually further down the list then his base health in relation to other Champions.
What may be the case, though, is that Thresh is free to build and spec himself tankier through masteries, runes, and items. If he gets a Face of the Mountain and a Sightstone he gets pretty good early health. Since Thresh's abilities are powerful purely in their mechanics, he doesn't actually need any AD or AP -- so he can just focus on survivability.
The other reason he needs/builds survival is that his ideal combo - Hook, Pull, Flay, Ult - puts him directly in the middle of the enemy team, so he has to be able to survive it.
tl,dr; If you are focusing the support Thresh with your Malzahar ultimate, you are doing it wrong.