It means that your phone or the active app is fetching your location.
To prevent any app or service from using your location info:
- Select Settings > location, then switch Location services to Off.
- You must switch off and on your phone for the changes take effect.
If you need more information about the icons on your Lumia, go to the Windows Phone support site, and then use the search field on this page to find the article: What do the icons on my phone mean?