1) You are smoking out of a pipe with no screen (Like most glass pipes).
2) You are near the end of the bowl, or the bowl is already gone and you are trying to be greedy and get one last hit.
This isn't really dangerous, as the tiny bit of ash won't do any lasting damage. It is more of a hassle or nuisance.
Stoner #2: "No way bro, let me get one more rip! <COUGH, COUGH> Damn, I just took a hippie grenade down my throat!"