Think about a "triangle"(3-clique): an undirected graph $G(V,E)$ with three vertices $a,b,c$ and edges $(a,b),(b,c),(c,a)$. Assign cost $w_{a,b} = 1$, $w_{b,c} = -100$, $w_{c,a} = 100$. If we want to find the shortest path from $a$ to $b$, Dijikstra greedily chooses $b$ via edge $(a,b)$, which has cost one. However, the shortest path from $a$ to $b$ is $(a,c),(c,b)$, which has cost only 0.
In fact, the proof of the correctness of Dijikstra algorithm relies on the fact that all edges have non-negative weights such that the greedy algorithm always stays ahead.