CGI relies on forking off new processes to handle requests. This limits CGIs scalability, regardless of the language used to implement the program being invoked. Forking is expensive.

Technologies such as mod_perl, PHP, or ASP that execute applications "in process" with the web server will, in general, scale better than CGIs.

Scalability isn't necessarily the only game in town, though. It's often much easier to develop using CGI scripts, since you can isolate them from the web server and debug them stand-alone. Often the mere fact that you can get something running sooner is the big win.