It means the server doesn't close the socket once it's finished pushing out the response (so the length of the response has to be otherwise indicated, via headers or chunking), so the client can make other requests on the same socket. A web page often requests several other pieces (images, CSS, scripts, ...) on the same server as the page itself, so reusing the socket for some of those further requests to the same server can reduce overall latency compared to closing the original socket and opening new ones for all the follow-on requests.
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