This is quite a misleading status. It should be called "reading and filtering data".
This means that MySQL
has some data stored on the disk (or in memory) which is yet to be read and sent over. It may be the table itself, an index, a temporary table, a sorted output etc.
If you have a 1M records table (without an index) of which you need only one record, MySQL
will still output the status as "sending data" while scanning the table, despite the fact it has not sent anything yet.