Yes, that is what he means. You can see a combined order book for most of the large exchanges here:

http://data.bitcoinity.org/markets/books/USD

For example, by looking at this chart one can calculate that if one sold 10,000 Bitcoins right now with simultaneous market orders across all exchanges, one would receive north of $40M and the price would drop to $4,000.

That's great in theory, but in practice that's not what happens, because new orders influence existing orders, and cause additional new orders to be created. Much smaller sales can in fact, and to do, cause much larger price movements.