He is talking about the original version of the Caesar Cipher where the substitution was just a +3:
A -> D
B -> E
C -> F
D -> G
E -> H
F -> I
G -> K
H -> L
X -> A
Y -> B
Z -> C
Because the shift is fixed, it does not have a key (but you could say it is a substitution cipher with a key equal to +3).
However it is common usage to call a substitution cipher as a Caesar Cipher because the idea the same but where you change the value of the shift.
The Caesar cipher is named after Julius Caesar, who, according to Suetonius, used it with a shift of three to protect messages of military significance. While Caesar's was the first recorded use of this scheme, other substitution ciphers are known to have been used earlier.
If he had anything confidential to say, he wrote it in cipher, that is, by so changing the order of the letters of the alphabet, that not a word could be made out. If anyone wishes to decipher these, and get at their meaning, he must substitute the fourth letter of the alphabet, namely D, for A, and so with the others.
— Suetonius, Life of Julius Caesar 56 [source]