4 wheel drive on 2003 GMC Yukon XL 1500

The light by the 2 wheel drive was yellow and now it is red why?

2 answers
possible issue with rear drive shaft, transfer case, rear diff., rear wheel bearings. should bring in to shop for diagnostic run to confirm or dismiss. do visual inspection of rear wheels(looking for sign of blown seal, oil spattering around rim).
Mechanic + scan test = Best place to start!!