What Einstein meant by this, and he said this specifically to clear up the confusion surrounding his general theory of relativity, was that there is no structure called space-time. This would be a lot like the old argument of ether keeping the planets from falling down. Einstein was arguing, specifically, that time and space are conceptual systems of measurement. Space is not a physical thing.
Space is a concept.
It would not exist if human beings had not thunk it. How anybody could dispute this is beyond me. A planet is not a human construct. It is a physical object. The nature of the planet is an interpretation through socially constructed epistemic frames.