That means that their resources are exhausted. They don't have any more resources. You will also see this as 'tapped out'. Click here for a dictionary definition.
Those two words are often collocated, but I would not use that expression in a context such as the original question in this thread.
"Utterly consumed" is frequently followed by either the word 'with' or 'by'. In my opinion, this phrase most often has a meaning similar to either 'completely engrossed' or 'completely destroyed'.
You're more likely to see 'utterly consumed' used in a passive construction: "The homes of more than 3,000 families were utterly consumed by the California wildfire".
Otherwise, the most likely usage of the word utterly is to modify an adjective: - utterly ridiculous - utterly amazing - utterly impossible