I am assuming we are talking about one man having more than one wife. Simply put, it is difficult to share people with someone else. There are feelings of jealousy because many times there are feelings that the other woman is being treated better, instead of equally. In addition, there may be feelings that the children of one are treated better as well.
Well marriage is supposed to be tie between two people that respect, love, and care for one another. When you have share that bond with another of course there will be jealousy. Another reason is the sanctity of the sexual connection. Many religious people wait until they are married to have sex, and know that they will only give themselves to one person, so when you are sharing the bed also, that is when jealousy really rears its ugly head.