Why is it a bad idea to use Session to store state in high traffic websites?

I am watching the ASP.NET learn videos on asp.net/learn. In this tutorial, they are building a quiz engine. At one point, the narrator explains that we are going to use the Session object to maintain the state between each page (each page contains a question and four answers). He says that “since this is a low traffic website” it is okay to use Session and that he doesn’t have the time to implement a more sophisticated method.