From the way you phrase the question it sounds like you misunderstood calories a bit.

The human body, and any organic substance like food but also bone or muscle or fat etc, are composed of molecules that contain energy which we refer to by measures of calories. Your stomach and intestines break apart foods that you ingest and release some of the energy as calories for the body to use for things like moving muscles or sending nerve signals etc.

But your muscles, fat, etc. are essentially also the same composition as some of our food, just like when we eat meat from other animals. If you don't eat at all, your body still needs some energy to move around and do things. So the body has mechanisms for effectively eating itself to convert your own body into usable energy.

Anytime you use more energy than you get from eating, the body is going to pull some energy from its own internal storage by consuming its own fat or muscle etc. It doesn't literally go through your digestive system, but it is similar in final result. The fat or muscle is destroyed and the body gains energy that it can use.

When people say to burn more than you consume, this is the idea. If you eat less and/or move around more, then you will require more energy than you consumed with food. This results in your body "eating itself" (typically thought of as "burning fat") in order to have enough energy to get by.