When you 'change the value of a variable' you are changing the string (or whatever) that the variable references, not the value itself.
In object-oriented and functional programming, an immutable object is an object whose state cannot be modified after it is created. This is in contrast to a mutable object, which can be modified after it is created. In some cases, an object is considered immutable even if some internally used attributes change but the object's state appears to be unchanging from an external point of view. For example, an object that uses memoization to cache the results of expensive computations could still be considered an immutable object.
Immutable objects are often useful because they are inherently thread-safe. Other benefits are that they are simpler to understand and reason about and offer higher security than mutable objects.