In the Layers panel there are layers. And then there are sub-elements. Inside a layer there can be objects (paths, images, text and a couple more things). There can also be groups inside a layer - groups are create via Object > Group. Inside a group there can be other objects. And also there can be more groups.
Inside a layer can also be sublayers. Sublayers can only be created via the layers panel (clicking on the button). Sublayers cannot be inside a group. Illustrator doesn't allow that.
The trouble is, that it's not easy to tell usblayers and groups apert once you have changed their name. In order to be able to tell whether something is a sublyer or a group, you have to target it (click on the circle to its right in the layers panel. Then its nature shows in the control panel way to the left. Or in the Appearance panel. And then you know whether or not you can create a sublayer inside of it.