What does the verse 9.34 of Bhagwad Geeta actually mean by?

While answering various questions of Arjuna, the mind of Sri Krishna merged in the BRAHMAN, the Almighty God, and thus he became the BRAHMAN itself.

He was in the state of SELF-REALISATION.

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A man/woman, who got rid of all desires and emotions, is a JNANI or BRAHMAN or SELF-REALISED one.

Bhagavad Gita says about a JNANI or BRAHMAN or SELF-REALISED one, as follows:

योऽन्तःसुखोऽन्तरारामस्तथान्तर्ज्योतिरेव यः।

स योगी ब्रह्मनिर्वाणं ब्रह्मभूतोऽधिगच्छति।।5.24।।

He who is happy within, who rejoices within, and who is illuminated within, that Yogi attains absolute freedom or Moksha, himself becoming Brahman.

श्रीमदभगवद्गीता | Gita Supersite

A JNANI or BRAHMAN or SELF-REALISED one, who got established in the BRAHMAN, becomes the BRAHMAN itself.

Any person realises the SELF in this world, at any point of time, is a JNANI or BRAHMAN or SELF-REALISED one .

This has been happening in the world since TIME IMMEMORIAL. And, this will continue to happen in future also.

Sri Krishna was one such a JNANI or BRAHMAN or SELF-REALISED one in that era. Sri Ramakrishna Paramahamsa, Sri Ramana Maharshi, etc, are some examples of present generation.

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Coming to the question part - it is because Sri Krishna was hinting at to followBhramara-Keeta-Nyaya - Insect becoming Wasp

Bhramara-Keeta-Nyaya - Insect becoming... - Light of the Self Foundation

The Gita sloka that was referrred to is:

मन्मना भव मद्भक्तो मद्याजी मां नमस्कुरु।

मामेवैष्यसि युक्त्वैवमात्मानं मत्परायणः।।9.34।। Bhagawad Gita

Have your mind fixed on Me; be My devotee; offer sacrifice to Me; [and] pay homage to Me; thus fixing your self (internal organ) and having Me as your supreme goal, you shall certainly attain Me.

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There could be many ways in attaining the BRAHMAN state. However, for people, who could not get over their weaknesses, Bhramara-Keeta-Nyaya is advised.

In Bhramara-Keeta-Nyaya the disciple will keeps on following what his Guru taught him and meditates on his Guru’s form, thereby unknowingly he becomes himself a GURU, overcoming all his weak tendencies.

Here Sri Krishna, finding Arjuna’s weakness in following his teachings, was hinting at following Bhramara-Keeta-Nyaya.

This rule applies to all the saints/sages, who got SELF-REALISATION.