If your fridge has coolant coils out back, it probably doesn't also have them in the walls.
He may be talking about nasty insulating material, (asbestos?).
If your fridge doesn't have coolant coils out back, (mine doesn't), paint the side of the fridge with cornstarch/vodka mix and turn the fridge on. Watch for where it evaporates first; that's where the coils are. Don't drill there.
I couldn't find the coils with the cornstarch trick, so I just prayed and drilled a very small pilot hole. Then, from the inside, I cut away the plastic and insulation slowly, and felt all around for any coolant lines. Finding none, I drilled a larger hole through from the outside.