The binary system PSR J1023+0038 (J1023) hosts a neutron star and a low-mass companion. J1023 is the best studied transitional pulsar, alternating a faint eclipsing millisecond radio pulsar state to a brighter X-ray active state. At variance with other low-mass X-ray binaries, this active state reaches luminosities of only ~1034 erg s-1, showing strong, fast variability. In the active state, J1023 displays: i) a high state (LX ~ 7 × 1033 erg s-1, 0.3−80 keV) occurring ~80% of the time and during which X-ray pulsations at the neutron star spin period are detected (pulsed fraction ~ 8%); ii) a low state (LX ~ 1033 erg s-1) during which pulsations are not detected (≲ 3%); and iii) a flaring state during which sporadic flares occur in excess of ~ 1034 erg s-1, with no pulsation too. The transition between the high and the low states is very rapid, on a ~10 s timescale. Here we propose a plausible physical interpretation of the high and low states based on the (fast) transition among the propeller state and the radio pulsar state. We modelled the XMM-Newton spectra of the high, low and radio pulsar states, and found a good agreement with this physical picture.