In most cases an illuminated warning lamp will be on because there is a fault in the system associated with the light.
It is recommended that you have your vehicle scanned for codes to see if there are any present and then have your vehicle troubleshooted and repaired as necessary.

There are some vehicles that may illuminate a warning lamp or multiple warning lamps and the fault is in the cluster.
If there are no fault codes in the system then that may be an indicator of the instrument but can be other things as well.