Explain please.
The Danbury Baptists were concerned their religious liberty would be infringed upon by state govt officials who did not share their faith.
While problems were few for the DBs, they also recognized this could change at any point because there were no state laws protecting their religion.
So they wrote Jefferson asking if the federal constitution/Bill of Rights might provide them the formal protections they sought. Jefferson told them "no" as the Bill of Rights (at that point) did not apply to the states.
Unfortunately, over the decades, the letter from the DBs to TJ and the letter to them from TJ has been used to claim all kinds of things that aren't true. However, actually reading both of the letters goes a long way towards understanding their meaning.