When Oedipus says this, he has just been told by a messenger that King Polybus of Corinth has died. Oedipus has always believed that King Polybus is his father. As you know, the prophecy said that Oedipus would kill his father and sleep with his morther. Now that his father is dead and Oediups has not killed him (he thinks), part of the prophecy is gone.
But part of the prophecy still remains. Oedipus could still sleep with his mother (he doesn't realize he has been married to her, of course). So on one level, Oedipus is simply saying that his danger is not over because he still has to avoid sleeping with his mother.
On another level, some scholars argue, we can say that he is asking what would be so bad about sleeping with his mother. He is asking why he should fear his mother's bed.