UFO Construction refers to two different things in the game. One is a research objective which can be researched after completing research on Alien Alloys, Elerium-115, UFO Navigation, and UFO Power Source. Completing the UFO Construction research topic allows you to begin researching the X-COM Terran/UFO hybrid craft, the Firestorm, Lightning, and Avenger. Only the Avenger can reach Cydonia on Mars, thus, UFO Construction research is required to complete the game.
The other is recoverable UFO Component. However, this is an unused feature that can't actually be recovered, sold, or researched during a normal game, since you will never retrieve it from tactical missions.