An important point to note is that a function being continuous on the rationals does not necessarily mean it behaves how you would expect a continuous function on the reals to behave. For example, a step function which is 0 everywhere below some threshold and 1 above it is clearly discontinuous on the reals, but it can be continuous on the rationals:
$$f(x) = \begin{cases} 0 && x < \pi \\ 1 && x > \pi \end{cases}$$
For every $x \in \mathbb{Q}$ and $\epsilon > 0$, let $\delta$ be some rational number between 0 and $|x - \pi|$; such a $\delta$ exists because $|x - \pi| \ne 0$ for all rational $x$. Then $|f(x + a) - f(x)| = 0 < \epsilon$ for all $a \in (-\delta, \delta)$, and hence $f$ is continuous at $x$.
The analogous function on the reals is of course discontinuous at $x = \pi$, but continuous everywhere else. It's only continuous on the rationals because $\pi$ isn't rational. So in a sense, the rational numbers aren't a very useful domain to talk about continuity in, because they allow for "discontinuities" to hide in the irrational gaps.
This might be (casually, informally) summarised as "the rationals aren't continuous", but as explained by the other answers, this sentence is formally nonsense because continuity is a property of functions, not sets.