In embroidery, texture relates to an almost limitless collection of threads, fabrics and other materials to make a tactile and visual treat. Texture can add tonal quality to colour - roughness is more interesting than smoothness.
Just to get you started thinking about texture, think about your surroundings. Texture is everywhere. When I first started free machine work, I found that after I had mastered the techniques I wasn't that impressed with my work because it always seemed to be flat. I think that is why I starting playing with dimension and adding texture where I could. We often have ideas but can't decide how to execute them. Playing and experimenting is always the best answer really.