What is this issue of iPhones having to be factory unlocked?

If I buy a phone from here people keep telling me it has to be factory unlocked. My mom is in Dubai right now and I want her to get me the phone from there but someone told me it will be factory locked and so you won’t be able to use it here. Why would a phone you buy from any other country be locked. I understand in America they are probably locked because they used to be only with AT&T. I don’t even understand the whole deal! Help.

I don’t live in the States, if that info is relevant.