That's a misquote: it's "There is no ethical consumption under capitalism". It's basically saying that you, as a consumer, cannot legitimately make ethical decisions when buying, because the entire system is built on being exploitative, and thus any decision you make cannot be ethical because the choices you have are already the result of exploitation by the time you're making the decision.

A good example is the "going green" fad: it does not matter which consumption choices you make, because your choices are effectively irrelevant. You spend a little bit more money for the "green" product, and that money will go directly to megacorporations that are exploiting and polluting on a scale that so outstrips your ability to combat it. Thus, your "more ethical" choice did absolutely nothing but fund the exact same polluters and environmental exploiters as if you had not made the "green" choice in the first place.