This usually has to do with the SSL certificate (either being self signed, the domain in the certificate not matching the domain you are attempting to connect to, or an expired / out of date certificate). It could also be that the site has mixed content (unencrypted plain text http, and encrypted https content). If you click "advanced" it will tell you the exact reason and give you the option to proceed, if you want to. There are potential security issues as it says (such as man in the middle attacks, or that unencrypted plain text http content could be intercepted), which you would need to consider.