Something priceless is incredibly valuable. It's so valuable that no one would ever want to sell it or be able to buy it.
Since a price is what it costs to buy something, priceless things cannot be bought; they're too valuable. People sometimes talk about "priceless treasures," which may actually have a price, though only a millionaire could afford buying them. More often, priceless things are things without a monetary value — like friendship, love, honor, etc. Parents call their children priceless, because they value them so much and obviously would never sell them.