Such as if you had an alibi that you try to use as a defence in court but you didn't mention it when questioned by Police in the first place. This can cast doubt on the alibi - presumably because people will think you made it up later and if it was true you should have been able to say so in the first place.
> it may harm your defence if you do not mention when questioned something which you later rely on in court
> it may harm your defence if you do not mention when questioned something which you later rely on in court
https://www.gov.uk/arrested-your-rights