"wok hei" is the charred, smoky taste from Chinese stir-fry dishes, which you can only get at very high temperatures, usually with an open flame.
You do not want to expose Teflon pans to high temperatures because it can degrade the non-stick coating. This is why most woks are made of carbon steel, which work fine over a large flame.
Note: if you're stuck with an induction stove (like I am) you're not going to get wok hei even at the highest setting. It's possible to cheat with a butane torch, or by taking it outside with an outdoor wok burner.
It's just a somewhat poetic way to describe the flavors you get when cooking with really high heat really fast. You can't get it on teflon because you're using temps 100+ degrees above what teflon can handle without decomposing.
To clarify, you can't use any teflon or ceramic nonstick coating at the temps required, regardless of heating method. The coatings will degrade, and possibly poison you.
That being said, you don't need to be using gas. It is possible to get good wok hei on an induction wok, despite what the foodie peanut gallery says. Not on a 120V unit, though. You need to use a commercial multi-kilowatt setup.
Ok, convert me:
What is "wok hei," and why can't you get it in a Teflon pan?