Stateless here means that state or meta data of request is not maintained on server side. By maintaining each request or user's state on server, it would lead to performance bottlenecks. Server is just requested with required attributes to perform any specific operations.
Coming to managing sessions, or giving customize experience to users, it requires to maintain some meta data or state of user likely user's preferences, past request history. This can be done by maintaining cookies, hidden attributes or into session object.
This can maintain or keep track of user's state in the application.
Hope this helps!