Securities are generally fungible (divisible and transferable) assets that have value and can be traded in the market. Non-marketable securities have a unique place as their trade is heavily restricted in the sense that they cannot be traded on major secondary exchanges. Finding a buyer or a seller might be difficult or outright impossible if the government prohibits their resale.
For example, a US savings bond cannot be traded on the secondary market, unlike regular Treasury bonds.
Another example would be a private company that doesn’t have its shares listed on a stock exchange.
Why do investors buy non-marketable securities?
In the case of debt securities, non-marketable securities are usually redeemed at par upon expiry. But before they expire they usually trade at a significant discount to par, if it is even possible to sell them.
It's obvious that short to medium-term traders only trade in marketable securities, but what about investors? For the everyday investor it usually doesn’t make much sense to buy these securities unless they can do it with a huge discount and wish to hold them until they are redeemed by the issuer.