Late to this thread, but probably what they are saying is that you need your own server.
Under Apache (at least), you can have only one SSL site per IP address/network interface (e.g. per "machine" in most hosting situations). If you are sharing the system with others (e.g. don't have "root" on the box), they can't give you an HTTPS site.
Now, this limitation is being overcome by certain means (here's one), but as most hosting companies lag behind current technology for several months or even years (PHP 4.x, anyone? I'm still in command of one "shared" server using that), that's likely what they're trying to tell you.