I am trying to understand the meaning of the renormalization group equation and what i have understood is that, since observable (or physical?) quantities must not depend on arbitrary energy scales, the RG equation must hold. But why do then the coupling constants, for example depend on the energy scale? Are they not observable quantities?
No, the coupling constants are not observable quantities. The only thing that we measure are correlation functions.
When correlation functions are computed naively, they apparently depend on the cut-off as well as the coupling constants. The couplings must depend on the cut-off just in the right way for the dependence on the cut-off to cancel out.