Probably dumb question about malicious pickle data

I'm using OpenAI's Whisper in Python to generate a speech transcription of an audio file I downloaded. When I run it, I get this message:

FutureWarning: You are using `torch.load` with `weights_only=False` (the current default value), which uses the default pickle module implicitly. It is possible to construct malicious pickle data which will execute arbitrary code during unpickling.

What does this mean? Could malicious pickle data be contained in an audio file? I apologize in advance if this is a stupid question.