This particular warning is shown when the page has mixed content, i.e. some parts of the page are delivered over http. As @nailxx said, the solution is to make sure you deliver all your content over https.
The reasoning behind this warning is that the user sees the greed address bar for the page, because the main document is delivered over https. This sets certain expectations* about the security and privacy of the content exchange between the browser and the page. Any content delivered over http violates those expectations silently.
In particular, quite often the source of this warning is external content, especially third-party ads.
[*] one could argue that any such expectations are wrong and https overall gives the false impression of security, but that's outside of the current discussion :-)