Even when the outside temperature is well below freezing, if the temperature in your attic is above freezing, the snow on the roof will likely melt. When it does, the snowmelt runs down the roof and hits the colder eaves,and it refreezes, especially if the temperature drops again.
Over several days this cycle will repeat and the freezing snowmelt builds up and forms a dam of ice. While it might look pretty, with dangling icicles hagning from the gutters, behind the ice, water can build up into "ponds". The accumulated water can then back up under the roof covering and leak into the attic or along exterior walls.
See a 19 Action News video with Chris Kamis, on the dangers of letting ice dams build up.