I haven't done it myself (set up a forum to use https, that is), but I think what they're saying is that your page loads one or more external things via http. So you might have javascript or images that aren't accessed via an https url. I think you should be able to figure that out by viewing the page source of a page and searching for http:, or maybe use the developer tools network tab to see what's being loaded.
It's also a problem if you let people post images. I've seen people handle that by using a proxy for the images, or by copying them to your server. I know there's at least one mod for doing that.
Edit: Like this one:
https://vborg.vbsupport.ru/showthread.php?t=253309 . I think there was another one but I can't find it right now.
I was writing while CAG CheechDogg posted, but yeah, that's what I mean.