The directive does in fact state as much, in article 3(1):
This Directive shall apply to all Union citizens who move to or reside in a Member State other than that of which they are a national, and to their family members as defined in point 2 of Article 2 who accompany or join them.
That's the source of the warning on Europa.eu: By default, the rules simply do not apply in your own country. But the CJEU has created a bunch of exceptions so they cannot simply write that the rules do not apply at all. The most famous of these cases, the Surinder Singh case, extended freedom of movement rights to everybody who is returning to their country of citizenship after exercising those rights elsewhere. That's why the advice mentions living outside the EU. For if you do live in the EU, there is a good chance freedom of movement rights do apply to you and your family, even in your own country.
That's not the only exception carved out by the court. Unfortunately, if you go beyond the obvious scope defined in the directive (Union citizens in a country other than their own), understanding exactly when freedom of movement rules do or not apply requires tracking an ever evolving case law.
Finally, some member states have also extended the same benefits to their own citizens' family in national law. In other words, the rule do apply, not because the EU requires they do but because the country decided so. That's another way in which they can effectively apply beyond the scope initially defined in the treaties and directive.
To find out more, it can be useful to look up your country's public information website about entry and visas. Some of them do a good job of reflecting current EU law or, at least, the country's interpretation of EU law. It would also reflect national rules that are as advantageous when they exist.