It's usually a sign that you don't have clear component boundaries or well-defined interfaces, which means your code is going to be harder to test and harder to debug. Every place you read and write global state is also a potential race condition in multi-threaded code.

Of course there are places where global state is unavoidable (even if it's just "the filesystem"), but by confining your global state to a small corner of your codebase and having the rest of the code interact with this component instead of touching all the global variables directly, you can reduce the number of potential problem spots.