Its a case by case basis, but assuming you're a healthy human being, its seen as a sign of failure for a few reasons.
Firstly, the lack of independence or growing up it seems you have done. Moving out is a big moment in many people's lives, and kind of marks their progression into adulthood. I know people who were 18 and moved out on the day, whilst tackling Uni and such, even if it is with friends, and they support themselves fully. Its taken as a sign of maturity, and a control over your life that isn't as evident if you live with your parents.
This goes doubly so if you're not paying your parents board, and aren't helping out a lot around the house. Its seen that you simply can't take care of yourself, and that's an undesirable trait.
Additionally, in terms of relationships, something that is prescribed a high value in society, living with your parents is a big barrel of awkward that, unless you're young, no-one really wants to put up with. Especially as adults you don't want the thought of someone else's parents sitting in the room next to you listening to you have sex, or not being able to have some quality just calm time alone, because their parents are in the house too. It also makes it kind of awkward when first date come over to my place results in meeting with their parents, and you have to question whether they could support a long term relationship with you if they can't even support themselves. This is without the eventual complications of wanting children, and the awkwardness and just general painfulness of raising them infront of your partner's parents who keep telling you you're doing it wrong. In a relationship, living with your parents is undesirable and awkward, which makes it less likely that you'll get into a relationship [Perceived that way anyway, the truth is often different], which lowers your status in society's eyes.
Often its also simply just a sign of financial failure. If you can't afford to move out of your parent's place, of course people who can are going to view you as less successful than them - because you likely are - and not being successful is a sign of failure to many people. Yeah, there's probably circumstances and reasons why, but it doesn't change the fact that if you're not earning enough to move out of home, those who are are likely to view you as a failure in the business sense as well.
It is a cultural thing, however. Many Mediterranean families around here stick with their families throughout their life, and from comments in this thread it seems things are similar in the Mediterranean countries themselves. However, as a result of the high ability for financial success in the previous generations in more traditional Western civilizations like America, its seen as normal to move out of home, and a sign of failure not to. As economic conditions get worse, and a greater portion of the population becomes unable to do so, more will understand that its a failure enforced by the system, rather than on an individual's part, and the view of it will improve, as everyone is doing it by necessity. Whilst the majority still move out though, its likely that living with your parents will be seen as an undesirable trait by the wider population.