It's a sign that he's ready to breed. They build them because the males are the ones who tend to the eggs and the fry and the nests are where the eggs are kept. It's generally a good thing, but it's not a sign of health or happiness. A friend's sister many, many years ago, had a Betta in an 8 oz cup, she hardly ever changed his water, and his fins were so clamped they looked like strings. Yet, he still made bubble nests that overflowed the cup. He lost all his color and died after only a few months (Bettas should live several years), but made nests up until the week that he died.
So just because yours is making a nest, it only means that he's old enough to breed, not that he's healthy or happy.