It's a common phrase used to ask about a problem or issue.
Here are some examples of how you could use it:
* "¿Lo que está mal?" - "What's wrong?" (asking someone who seems upset)
* "No sé lo que está mal con el coche." - "I don't know what's wrong with the car."
* "Me parece que lo que está mal es que no escuchaste." - "It seems to me that what's wrong is that you weren't listening."