This refers to a funnel of actions that leads to a goal, in the context of playable ads a funnel would be:
Requests -> Impressions -> Engagement Rate -> CTR
The Events Funnel report allows you to quickly build chains of events (sequences) from your playable experience and visualise the resulting data.
By creating multiple chains in one report, you can identify the changes in your performance based on different user interactions and journeys through the playable.
You can read more about the Events Funnel page here.